You basically put on a downpipe to get it to become a turboback...unless you're going for a complete turboback kit.

Which woooooooshhhhhhhh are ya talking about? The Blow Off Valve?

Anywho...read some of the threads and do some searches. We have a review section

 

Lots to choose from. Use i-Club's Search feature, as bpang1's already mentioned. Check Reviews section from link near top of page, also. Then, there's always Google.
See page below and view WRX exhaust diagram (link). STi exhaust is similar to that of the WRX from downpipe back to muffler.

http://www.mattrandolph.com/wrx.htm

HKS Carbon Ti Hi-Power review page. This exhaust is a catback system, not a full turboback. Please refer to Matt Randolph's exhaust system diagram to understand the difference. Catback system does not include a downpipe.

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"…axles of evil…" - george w. bush

 

By the way, I hope you've already secured insurance prior to your test drive of the STi. Depending on your age, driving history, and other factors, some folks pay more for insurance per month than their car payment. There isn't any one insurance carrier that is best for every STi owner due to location and other things. It pays to shop around.

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0==WW==0
"…axles of evil…" - george w. bush

 

Tsh... listen to this guy man! I got quoted for $9000+ per year! I'm still shopping around.

BOV can get you that "whoooosh" sound, but it's not an ideal mod to have and considered a waste of money. The stock BPV is the best way to go for the STi. Unless you're boosting 20 psi or higher, otherwise, stock is the best way.

Same goes for the intake. Keep the stock airbox in there and change the filter to a better kind. K&N seemed to have a good review from people around here. You wonder why? Intakes doesn't really give you power gains from what I've been reading (someone, correct if I'm wrong).

Issues for a TBE is that it can create boost creep. I can't put it to better words to describe what it means... try to surf around to get a better view of it. Porting the turbo wastegate seem to fix this problem.

This car is picky when it comes to mods that you'd usually put on. There are couple of catch in order to put on these mods you mentioned. Good luck!