Go buy a Tactrix 2.0 and then buy an XPT Stage 2 tune online, he tunes them slightly rich so you don't need to worry about it hurting your engine. The gain in power is incredible. It takes the WRX from 220bhp to 290bhp.
You will need an aftermarket downpipe, catless uppipe, and K&N filter insert. I highly suggest upgrading to the GM EBCS for better boost control (no boost spikes) but it's not necessary. The catless uppipe is a good idea regardless because the stock one can break apart and destroy your turbo.
Then yes, tires, and wheels if you want.
Other great simple modification include the STI TMIC, silicon turbo inlet, and aftermarket aluminum y-pipe. None of those things require a tune and can help free up about 5hp apiece on average.
Keep your stock parts just in case you ever decide you want to revert back! It's just that easy.