Unabombers Manifesto.
http://forums.nasioc.com/forums/showthread.php?t=533787http://forums.nasioc.com/forums/showthread.php?t=533787http://forums.nasioc.com/forums/showthread.php?t=533787
The other sourse I have found useful is
http://www.subaruperformancehandbook.com/http://www.subaruperformancehandbook.com/http://www.subaruperformancehandbook.com/
Lots of good basic info, but it does cost a few bucks.
Autocross stuff, but will give you a good idea what is worth doing and what isn't:
http://forums.nasioc.com/forums/showthread.php?t=1181271
http://forums.nasioc.com/forums/showthread.php?t=174189
I had actually had asked kind of the same question at one point: why isn't their a thread going into the different mods that you can do and why some should come before others. Such as why a BOV is a waste until you get to ~350+HP, why meth injection doesn't do much until you get a tune or why endlinks won't do crap until you upgrade your sway bars.
I got the expected troll response: Search Noob.
Unabombers Manifesto is really good and will get you started into researching what stuff is a good idea and what order.
Of course, "going fast" is relative, so the best thing to do is come out to some autocrosses before you spend any money on your current car. You can get rides in cars that have already had the work done and you get to see what they feel like. And you get to really see what "fast" truly is. I know this statement falls on deaf ears (I didn't want to listen when I first got started) but learn how to drive first, spend money on you then the car.