OP: Some additional points:
As Zev said:
- STI Exhaust is plenty good (I have one too, love it!)
- Headers, Equal lengths help a little with flow. Just remember, these modifications do not _make_ horsepower, they simply _recover_ horsepower that is lost by a restriction somewhere.
- Intake, I guess it could help ever so slightly by removing the obfuscated intake baffling. It makes the car growl more too.
- ECU: since you have an 04, the computer isn't really reflashable(?) with romraider, 05+ only.
As Twinny said:
- CAMS: Delta reground cams can be had for a cheap price, but my understanding that an aftermaket ECU with a tune is then best to take full advantage of them.
- Head work is not cheap but can help with flow (port & polishing of the intake/exhaust ports). It would cost about twice to three times as much as buying a fitting up/down pipe, TD04 and standalone ECU to turbo the NA.
- Throttle Body spacer I found helped (again, ever so slightly) with initial throttle response. It is a 1" tall spacer that sits after the throttle butterfly valve. My understanding is that it just increases the air volume before the intake so that the air is there when needed (initial response) before it has a chance to start flowing through the intake baffling.
- Cheapest HP/$ for the NA is to reduce the car's overall weight. Decreasing the overall weight of the car can help quite a bit and makes it feel significantly quicker. Couple that with some suspension modifications and it will become an absolute blast to drive. The 2.5 will become fast enough when you're having a good time bombing around corners and such.
There is also something that can be said for suspension modifications. I replaced pretty every piece of rubber with polyurethane which stiffens it up a bit (also increases road noise a little). But the idea here is not only do things stay where they're supposed to, your engine power isn't being used to move the cars components around - but instead it uses that force to move the car around.
But... In the end, if/once you get into it, you may just end up swapping in a STI engine (or a WRX engine if you're lame like me).