There are a couple things to be aware of:
1) The biggest performance gain comes from a catless header + tune.
1.1 A catless header *WILL* throw a CEL unless you get a tune. Some people use O2 spacers to reduce the frequency of the CEL, but a tune is your best bet.
1.2 You should research your state's emissions inspection process (if any) to see if you will pass with a catless header. In Texas, they just connect to the OBD2 and check that all emissions systems are reporting "ready"
2) Catless headers are substantially louder than stock, particularly during cold start. The cold start was embarrassing until I fixed my tune.
3) The stock catback sounds like poo with a catless header.
3.1 Dual-canister-style exhausts like the invidia N1 will be stupid loud when paired with a catless header.
3.2 For reasonable sound levels with a catless header, popular choices include the Perrin 2.5" resonated and the invidia Q300.
4) If you go completely catless (that is, using a catless header + catless FP), you'll end up sounding raspy or brappy or whatever. See
this thread for a comparison between the OP's catless (and brappy) exhaust vs. my single cat exhaust note.
5) You have a choice between unequal length (UEL) and equal length (EL) headers. The traditional wisdom is that EL will give you more max power from 6-7.5k, and will sound like a traditional japanese tuner car; while the UEL will have the characteristic subaru "rumble" sound and provide more mid-range grunt. Purely a personal preference.
6) Some of the more popular headers include the
Tomei UEL,
Ace 4-2-1 (the new hotness for EL), and the
JDL UEL.
6.1 FT86SF makes its own header that several people seem to like. There's also the OpenFlash Header + OpenFlash Tablet combo, which gives you a catless UEL header plus an open-source tuning and diagnostic platform for not a lot of money.