Stick with the SVT header, aftermarket headers aren't worth the negligible gains.
+1 on the tune. Probably the best upgrade you can do, and if you go with Tom you get free NA updates for life.
- Short throw shifter. You'll love it.
- Exhaust. Mainly a sound upgrade, but well worth it.
- ORP or HFC depending on how loud you want to go or what the authorities have to say in your area.
Mine: 2004 Subaru WRX Wagon: 116k, WRB
Gone: 2002 SVT, #1654
Hers: 2012 Focus Ti Sedan: 67k, SGM, Manual