That's sort of a tricky question. Usually, when you modify your car to increase power, you'll end up losing mpgs. No matter what you do, you probably won't be able to noticeably increase your mpgs, but rather sustain it or keep it from significantly decreasing as you add power. Much of your gas mileage has to do with how you drive the car and it is possible to average low to mid 20's (sometimes better) with a slightly modified WRX.
If you get a Cobb AccessPORT, a bellmouth downpipe, flash to a Stage 2 map, AND you can keep yourself from mashing the gas pedal to the floor all the time, you might pick up a few extra miles per gallon, but you'll also get a noticeable power increase over stock. An up pipe would benefit you as well, but mostly as a safety mod so your pre-turbo catalytic converter doesn't break apart and send chunks of debris flying into your turbo, often causing catastrophic turbo failure. Turbocharged engines can actually be more efficient than naturally aspirated engines depending how you drive them, but most of us would rather feel the car push us into the seat over and over. A K&N filter is also a good idea. Pulstar Pulse Plugs advertise better gas mileage and an increase in horsepower/torque, but they're pretty expensive. I have a set of them right now and, although there might be an improvement in all of that, it's not noticeable. You could also switch to synthetic engine oil, transmission fluid, and rear differential fluid - and, actually on that note, make sure all of your maintenance is up to date and you'll probably pick up a few mpgs and restore some lost power.