What he said. If you want a road course car, there are many things to do before power. Also are you thinking actual door to door racing, or just HPDE type events? I don't know your driving experience...
The STI is so quick and handles fairly well from the the showroom floor, unless you are a very experienced performance driver, i would suggest driving it stock for a while. Learn to drive it at autocrosses, or on the track, and then you will know what upgrades you want, you won't need us.
That said, the upgade order looks something like this.
1. Seat Time
2. Harnesses. With an 04 STI, Seats may be almost as important unless you have a large butt.
3. Seat Time
4. Wheels/Tires. you will learn more on crappy tires, so this may be questionable. They will make you faster, but not necessarily a better driver.
3. Seat Time
5. suspension (Order depends on budget)
a. Sway Bars
b. Coil overs
c. Front Camber/caster plates
d. Rear camber/caster adjustment of some form. Bolts/arms...
6. Did I mention Seat time?
7. Did I mention Seat time?
8. Did I mention Seat time?
9. Did I mention Seat time?
10. Any power mods.
Come out this weekend and ride with some of us. You will be amazed what stock boost, mostly suspension street tired WRXs can do in terms of crushing some very expensive sports cars, and what a basically stock STI can do as well.