It really just depends on what you want and how you want it to look and sound.
I've currently got SpecB struts and RS-R springs on my wagon. I'm on the look out for STi pink springs as I believe them to be the best balance between low and comfort. The RS-R springs I've got now are awesome and make my wagon look really nice, but the roads around here are taking their toll so I think it's time to move them on. It might not be suitable for you though if you're carrying a lot of tools and what not.
If you've got the money to spend and intend on keeping the car for a while then I'd go for the BC coilovers, otherwise Bilstein struts and STi pinks are the next best thing and are OEM on STi models so you shouldn't have any negative issues or repercussions at all. BC coilovers can be bought directly from ICHIban which is a well-known Jap import specialist and mechanic here in Sydney. Many people can vouch for their work and customer service so you can definitely rely on them. I believe they post Australia-wide as well.
Exhaust all comes down to availability of what you want and how much you want to spend obviously. Register to club.liberty which is another Subaru club that has quite a large Gen IV member base. I've purchased quite a few things from there before. If you know your way around a car as well you'll save on labour if you install it yourself.
Wanting to buy/looking for: single genuine STi rim, genuine STi front lip, Corazon or Zero/Sports grille and another OEM grille
Can you hook a brother up? Please contact me now. I have cash ready.
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2006 Liberty MY06 3.0R SpecB wagon