The real performance gains in exhausts come from dropping cats or at least replacing them with high-flow cats.
An axleback will give you looks and sound, but no real performance.
Doing a turboback on the STi generally results in boost creep unless you port the turbo wastegate.
Generally, the exhaust pieces are plug-n-play, so you can start with an axleback, buy a couple pieces and have a catback, buy a couple more and have a turboback. Of course, it's nice if the pieces match (same appearance, diameter, etc.), and, of course, the sound will change as the various parts are changed.
So, since you don't know exactly how far you want to mod the car, but you do want some performance gain, it sounds like you should be looking for a catback, probably one made by a company that makes a catted turboback, for future expansion.
Search NASIOC, clubwrx, etc...exhausts aren't STi-specific. There's a sticky wrxfanatics thread with lots of sound clips.