You can't go wrong with coilovers.
WTF. Yes, you can go wrong with coilovers. Most people have no need for them and most coilovers are designed for the track and not the street/crappy roads. Unless you are willing to spend $1800+ on a good set of coilovers (i.e. RCE, TIC/AST), they are a terrible idea. Cheap coilovers (i.e. Helix, Megan, Godspeed, etc) have terrible valving, cheap compenents/construction, and will not survive in a winter as the snow/salt will rust/bind them.
For most people a good spring/strut combo is the way to go. Such as the TIC TOK package which includes:
Tokico Dspecs
RCE Blacks or Yellow Springs
I would also add the following:
Group N Top Hats Front/Rear
Camber bolts for the rear (to help dial in the alignment)
Drex extenders (to adjust the dspecs easily w/o removing the rear seat)
I also agree with MOSC that the STi struts and springs are a nice upgrade. The only problem with them is if you get the struts used. The used '04 struts are prone to getting the "clunk." But, that can be easily remedied by disassembling them and regreasing them. Also, new STi struts are pretty expensive.
If you want new struts I think Koni Inserts or Tokico Dspecs are the way to go (excluding the ultra expensive/bad@ss Ohlins), as both are more capable than STi struts and have better valving (more comfortable). But, if your budget is tighter and you only want a mild increase in performance (and need new struts) I would go with KYB GR2s and WRX style springs (Prodrive Blues, Swift Sports, Mach V Blues).
I have done TONS of research in the area of suspension upgrades, talked to Myles of RCE, talked to Clint/Tony of TIC, and ridden/driven various setups (STi/WRX). This is just my 2 cents.