+1 on the OEM SVT headers. It's been proved thru testing they flow better than any aftermarket.
To add to your list I would do the following before I did anything else...
#1. Tune from Tom.
#2. Short throw shifter
#3. HFC and catback exhaust of your choice.
2004 Silver WRX 300+whp
2003 BMP VW Golf GTI 20th AE #2845/4000
2002 Sonic Blue SVT Focus #1200/4788
2000 T-Red SVT Contour #1089/2150
1998 BDP Subaru Impreza 2.5RS #1595/1695