Welcome to the world of N/A subarus! Do searches on this club and others and you'll find just about anything you need. Couple of pointers, don't rice out the scooby... we're quite harsh . Neon, strobes, you know what I mean. As for performance parts they're out there, the good stuff is NOT cheap. I'd suggest he basic intake, cat-back to start your power gains. Upgrade the springs, struts, rear swaybar for handling. Other than that... enjoy!
Not totally sure about intakes for the new ('02) 2.5. Realistically, anything is an improvement over stock. As for exhaust, mind your budget. I cannot justify $400-$500 for a cat back so I've had custom pipng bent (including header and high flow cat) mated to a cheapo Aerospeed muffler. Total project was under $300! Best thing I can tell you is shop around! There's a lot of great parts out there, and there are a lot of great prices... there are also some HUGE markups. Try looking around the classifieds too, you can get great deals there. When in doubt, ask.