Check out the SPT short ram intake or Cobb's short ram intake if you can find one (they've been discontinued) as well as the heat shields for either one if you decide to get one of those. Those are the most compatible with your stock tune. The stock intake is actually good up to 300 hp or so, so that's not really the best first mod. Another option is to get a K&N drop in filter and a GP moto intake silencer delete elbow or mod your stock intake silencer. Search: WRX intake silencer delete mod for more info on that.
There are several other things that should probably be upgraded before you begin to mess with the intake (tires, sway bars, downpipe, tune, etc.). Check out this website for more info on the modding process: Unabomber's Manifesto - NASIOC