It all depends on your budget, the skys the limit if you are loaded. I've had a few OBSs in my day so I'll lay it out the cheap way (I'm a mechanic=no money) and I know you've got a WRX you'd rather sink a ton of money into.
-Theres not much you can do to the engine aside from going bigger to a 2.5L, K&N, and fix the oil leaks.
-Your exhaust is probably getting soft so look for an eBay exhaust for Imprezas. Or, use a STi or WRX take off exhaust.
-20mm rear sway bar, and rear sway bar mount that have the newer style stiffener
-suspension, go up like Ray's, or go down. There are still lowering springs available. KYB struts available. I just replace the struts and stay stock height.
-rally armor mud flaps, or make your own.
-Primitive skid plate, or make your own.
-tint
-off road lights
-Some decent alloys, the WRX/RS 16s are cheap, tough, and everywhere.
-WRX/RS 2-pot brakes, WOW, way better brakes!
-the 02-07 WRX 6 disc stereo, inexpensive (40-60 usually) and way better than the stock OBS radios. Bolts right in, same connector also.
-Kartboy short shifter and bushings, Mmmm 20hp right there!
-TIRES, the single most important add-on, TIRES. Snow tires for winter are a MUST. You are losing 75% of that car's potential if you don't have snow tires.
-Driver training. Go to Team Oneil for the one day WInter Driving course. Sharpen the skillz. Tightens the loose nut behind the wheel.
There, that will ruin your retirement plan. Happy motoring!