i've heard if you do exhaust on then you may lose power is this true and what other performance upgrades can you do them to make more power and i want to lower it which coilovers would be best for it? thanks for any help

 

The STi will gain power with all the regular turbo car upgrade.

Turbo car rarely lose power with a higher flow exhaust unless you go crazy big 4" piping.

What can you do to increase power depends on how deep your pocket is, here is a few things you can do:

Open element intake filter.
Bigger ball bearing turbo.
Bigger intercooler, either top mount or front mount.
Port match intake manifold.
Port and polish head.
Equal length exhaust manifold.
Down pipe.
Cat. back exhaust.
Stand alone ECU.
Electronic boost controller.
Higher flow rate fuel pump/injector/regulator/rail.
Aluminum underdrive pulley.
Light weight flywheel and clutch.
Carbon fiber driveshaft.
Light weight rims/tires.
Light weight brake rotors.

Coilover wise, I don't have any experience in the STi yet, but here is some of them in the market:

Low end ($1K~$1.5K)
Tein.
HKS Hyper damper.
JIC.

Middle price range ($2K)
STi.

High end ($3K~$8K)
Ohlin.
Penske.

You get what you pay for, they are all good for their price.

 

http://turboxs.com/txs_tbe_sti.htm