This is no easy thing to answer.
What kind of person are you?
Do you have a target for your car, 300whp for example with a particlur turbo and injector set-up, and when you get there you don't plan on going further?
Or are you the kind of person who is always adding on to your ride, an intake here, a TMIC there, maybe headers next month, a bigger turbo and injectors next spring, and then even bigger the year after that, etc.
There are many, proven inexpensive routes for the 02 WRX if your willing to follow some well traveled paths.
For example XPT (Extreme Performance Tuning) has a number of Enginuity maps available for the 02 WRX for $52 including a stage 2 (TBE, pp-pipe, and panel filter) and stage 2.5 (vf39 with STi pink injectors). The tuner is one of the developers of Enginuity and is a very capable tuner. His dyno results have appeared in the Proven Power Bragging section of NASIOC many times and they are excellent. It requires you to have a tactrix cable, a laptop and a copy of ECUflash. If you don't have them, there are folks in our group who do and may be willing to loan (or rent) them and help you out.
These maps are not all encompassing. If you want to add parts that are outside the parameters most would be OK. Headers, a bigger TMIC, would be good additions without needing another MAP to take advange of the power improvements they offer. Intakes are the only things I would be very cautious about. Short Rams such as the K&N Typhoon and SPT have proven to add power while not modifing AFRs (air fuel ratios) or the MAF profile.
I will post this up here and you can look it over and get an idea of whether or not this is something you would feel comfortable with.
http://www.plasmatize.com/xptstore/
Beyond this there, are the obvious other options like the Accessport and the UTEC as well as an actual tune from a professional tuner, all have their pluses and minuses. It all depends on where you want to be.