Well, first of all, Welcome to Legacy Central!
Unless you have engine issues, you should have decent zip and power with your Legacy. You may want to get a compression and/or leak down test to see about the whereabouts of the condition of the engine. The NA engine won't perform like a turbo engine but your year Legacy does much better than the NA Legacies from '95 on in the way of power. But there's not too much you can do inexpensively with bolt on mods for a non-turbo engine. But if you wanted to install cams, visit the Vendor forum.
For suspension, you can go with KYB GR-2 struts. You can install aftermarket lowering/performance springs from Whiteline, HR, or others, or use factory springs from an RS, wrx, or other models. (But you should visit the Suspension forum and read up about it in the Stickies and other threads.) Similar with front and rear sway bars and endlinks. Strut bars can be had from Subaru, Cusco, Whiteline, ebay, etc. Devan (livestrong14) sells fender braces that many rave about.
You can upgrade your wheels with OEM 16" or 17" wrx and other model wheels, either USDM or JDM. You can upgrade brakes too with various combinations of parts from wrx, Legacies, etc. As regards brake pad enhancements, visit the Brakes forum and search there for what others use, such as Hawk, Carbotech, EBC, etc.
Headlights can be upgraded with glass headlights found on the European Legacies. And you can add auxiliary lighting from aftermarket suppliers as Hella and others.
Many wrx/sti front seats will bolt right in. You can replace your steering wheel with JDM or newer USDM wrx steering wheels.
The above is not by any means an exhaustive list, but it will give you an idea of some possibilities.
Oh, there are certain parts that you should always get OEM like the thermostat.
