My suggestion for you:
1. Search for information on a Cobb dp (downpipe). In my opinion, they are one of the highest quality downpipes on the market, since you said that's what you want. Decide for yourself if you are willing to spend the cash to get one and if you would like to get a cat (catalytic converter) or not. Reasons are: cat = save the environment a little, spend about 100 bucks more... no cat = squeeze out literally a few more hp, have a bad smelling exhaust, make more noise, be less legal (depending where you live).
2. Don't upgrade the cat back portion of your exhaust. The stock dp is the biggest restriction on your car and the Cobb aftermarket dp is made to perfectly mate up with your stock turbo and stock cat back exhaust. I'd recommend buying a new turbo to dp gasket and replacing it when you switch. You might also want to get a new stock "donut-style" exhaust gasket that comes between your stock dp and stock cat back exhaust if yours crumbles when you take it apart. I haven't heard a Cobb dp + Stock cat back combo on a WRX in person, but I have heard it on YouTube and it doesn't sound very loud to me, so you'll have an almost stock sounding exhaust and a stock looking exhaust (read: sleeper status).
3. Search for information on Cobb's AccessPORT Version 2.0. In my opinion, this is one of the easiest ways to get to "Stage 2" <-- search that term too if you're not familiar with it (it's basically engine management + a dp). Make sure you buy this before or at the same time as you get your dp so you can immediately reflash your ECU to a "Stage 2" map so you don't hurt your car.
This will get you the main reliable power over stock that you sound like you're looking for. Optional things would be: upgrading your stock air filter to a K&N panel filter, upgrading your stock crank pulley to a lightweight (NOT UNDERDRIVE = can cause problems) crank pulley (almost any brand is ok, I have Perrin), and that's about it as far as basic reliable sleeper power mods go. If you want to get more hardcore, I can't help you because this is the level that I'm currently at and I don't know very much more about more advanced modding yet.
Also, I won't throw out hp numbers because seriously, who can predict what parts give you exactly what in terms of numbers on paper? I just know that my personal setup is very similar to this and I feel a significant improvement over stock power levels and the power delivery is much smoother and less jerky as I'm sure you can feel sometimes when you hit the gas in your car.