+1 for the Cobb Accessport.
Go to
www.cobbtuning.com to check it out.
Basically you plug it into your OBD-II port below your steering wheel, and it acts as an ECU reflasher.... On an unmodded car you can load what is called their "stage I" map, which adds a pretty significant amount of power. Once you add a turboback exhaust you can load their "stage II" map which will turn your STi into a whole new kind of animal. It is DEFINATELY worth the money, and many users on this site have one (including myself).
The 3.5" isn't really nessicary unless your're going to be ungrading the turbo, the 3" will suit you fine. The APS is very loud, but is good quality. It's not something I'd put on my car, as there is other, cheaper options that are as good.
Get the Cobb AP, a TBE, and you find it hard to stop smiling when you're driving.