Everyone recommends that first you upgrade your tires (and wheels if you want). This is the most important part since you can have the best suspension in the world but without the contact with the ground its useless.

Then you probably want to upgrade the swaybar. Rear will do the most, but if your really serious you might want to get front and back. This'll reduce understeer, and increase transitional handling.

Most people upgrade end links when they upgrade swaybars since they make the swaybar react faster and more pricisely.

Thats as far as I've gotten so the rest is just from what I've read/heard.

Coilovers increase adjustability and tunability but are more expensive, and often have less travel as well as being more complex. Springs w/ struts on the otherhand aren't quite as adjustable, but tend to be lighter and WAY cheaper. So it depends on how serious you want to be. Racers'll use the coilovers for tunability and weight stuff.

Thats about all I know. GL

 

O yea, and the best thing would be to search. It works pretty well, even for me and I suck at it. If you have specific questions like endlinks or something just type it in and you should see results a lot faster than you'd get replies.

http://www.spdusa.com/wrx.htm has a lot of info too