Hey, just bought a wrx, and wanna know what to start out with as far as modifications go.
Im in the United States by the way

New intake and exhaust to start

http://google.com/search?hl=en&sa=X&oi=spell&resnum=0&ct=result&cd=1&q=2004+subaru+wrx+modifications&spell=1

Congrats on your NICE ASS purchase!

New intake and exhaust to start

DO NOT get a new intake, it is useless. Before you change the exhaust or downpipe, buy a Cobb Accessport from cobbtuning.com or another form of engine management.

Go for the AP or stiffer suspension components. Check out IWSTI.com

Take it to powerstation tewksbury.If in UK & tell them how much u wanna spend. l put about £2500 into mine & its upped the BHP to just over 350 0-61 in just over 4 seconds .. Ive had a ECU remap a bigger Turbo Brake upgrades Dump valve Toyo TR1s tyres bigger scoop (needed on the WRX as its scoop wont collect air at over 60 mph as body shape causes air to flow away from intake) A Miltec Exhaust System And a few other little bits.

A Cheap way to add a few BHP is to only use 99rom fuel as well!

Check out this link, http://airpowersystems.com/products_usa.html

One of the most respected Subaru tuners worldwide. Australia is turbo specialist. From road to track, they have the right products.

Ignore the intake suggestions & while we're at it no BOV, MBC or turbo timer ( l am wiling to bet somebody is going to recommend at least one of them).
Moving on, Do u want power/suspension/braking?
Power: First off engine management, accessport/eucteck/hydra/tactrix cable r all good choices do some research & find the one thats best for you.
Second Turboback exhaust again research & find the one that suits ur needs best (catted/non catted/etc).
Suspension: Swaybars+Endlinks, Tires, Coilovers research what is best for you.
Brakes: Plenty of big brake kit out there research whats best for you.
The best first mod? Drive ur car & figure out what u want to improve first.
Did l mention research?

First thing to replace is the uppipe with a performance one for that car. Most people r not aware of this, but that alone is limiting ur engine & any mods will be restricted with the OEM one. After that, go with intake & exhaust. All of these r relatively inexpensive & r great to start with since you're probably recovering from the initial purchase costs of the car. If u have the STI, the uppipe is not restricted like the regular WRX. l would say go with a piggyback for the ECU but those r only as good as the tuner that is installing it. ECUs can actually reduce ur horsepower if the car is not properly tuned. Not worth the risk unless u have a fair amount of loot to spend because ur car has to be tested to balance everything out- that costs money.

You should be aware that the 2004 & later WRX stock ECU have a delay in switching from closed loop to open loop due to fuel economy & emissions regulations that could cause detonation even if the car is completely stock. Therefore u should not perform any modifications to the engine without getting engine management such as a Cobb Accessport.

l recommend u start with purchasing new tires such as bridgestone RE-01R or Falken Azenis Sport RT615. That is a great bang for the buck modification that will be useful no matter how much more power u make.

In terms of power adders l recommend changing the uppipe to one without a cat (make sure it has a flex section or it will leak. The bosal uppipe is a good one), getting a 'turboback exhaust' , & engine management such as an accessport (the actual engine management device is not as important as as the skill of the person tuning it)

also keep in mind that the 5spd transmission will become a limiting factor. l have heard that transmission can only take about 300 ftlb of torque before long term reliability starts to get severely compromised. If u perform the modifications l suggested that will probably get u close to 300 torque at the crank, so l personally think that is a good place to stop modding, unless u have a lot of money to burn. Also, l think it is a good idea to keep the clutch stock. the stock clutch can hold 300ft lb torque & it is better to have the clutch be the weak link rather than other more expensive parts

Lastly, l think u should also consider installing gauges to monitor ur engine. Personally, l believe exhaust gas temperature, oil pressure & oil temperature r the most important ones to get. Fuel pressure & a wideband 02 gauge r useful as well. Boost gauge & narrowband 02 r nice to have but do not really give u that much useful information.

Good luck!

upgrade the turbo, bigger valves and better exhaust