Hey man, I use to have a Mustang and after that an Accord that were both highly modded. Word from experience, do NOT mod the STI like any car you have ever touched before. The ECU on the STI and the entire system is completely different that what you are use to seeing.
You don't get immediate and big gains out of the STI like you did with the Stang just by upgrading the header, exhaust, throttle body and intake system. Each one of those mods on the STI will require as it was stated earlier, an ECU remapping. The STI doesn't learn and adapt like the Stang does.
First step would be to get some engine management. best forst choice IMHO is the Cobb AccessPort. Go to Stage 1 with that. Then get a Turbo back Exhaust and go to stage 2 with the access port. Outside of that, any modifications made to the STI will require you to take your ride to a tuner. Best idea with that is to save up and install a majority of your parts at once and then get a tune.
Stay away from the blow off valves, cold air intakes and turbo timers until you know what you are doing.