Like others have said, it's a very, very common upgrade. Do some research, read up about the pro's and con's and have a think about what you want. Are you actually unhappy with the current level of power? If ain't broke, don't fix it.
Have a look at this
thread, it gives a brief description of all of the commonly fitted turbo's to WRX's along with info as to approximate power to expect, whether any modifications are required and when you can expect to achieve full boost. Also remember that it is an american site and some of the turbo's are specific to the USDM.
And have a read of this
thread to give you a basic understanding of most other types of modifications which will answer most of your questions. Again, this is USDM oriented, so be careful.