I watched a youtube video not too long ago where someone put an aftermarket exhaust on their subaru forester. They didn't actually gain any power until they reflashed the ecu. Tunes are definitely a bit pricy but they're worth it if you want to really optimize your intake/exhaust mods.
Otherwise, I personally would go with slightly wider, grippier tires. I believe (but don't quote me on this) that you can fit up to 235/40/17 tires on the stock rims. Lowering springs are also a cheaper, less-harsh alternative to coilovers. My old coilover'd car was NOT comfy at all, even on the softest settings. I also blew 2 shocks while on the streets. Check the suspension section of this forum to get more info on springs/coils.
But hey, customize the car to suit your use/tastes. Air bag suspension and 19" rims might be more your style.
