Welcome! You've come to the right place. There is lots of information here and a ton of good people that will point you in the right direction.
A catch can or AOS is a great modification for reliability's sake, though they are not quite as necessary on a stock engine as they are on a built engine.
Everyone likes to open up the intake for the increased turbo spooling and bypass valve noises. Most off the shelf tunes (such as Cobb) are not optimized for an aftermarket intake and changing the intake often has a greater than expected effect on engine health due to changes in the way the MAF is reading. Worst case scenario, an intake causes you to run lean, knock and have catastrophic piston damage. Plus, the stock intake is very capable up to around 400whp. Either way, if you must change the intake, you should definitely get a protune.
If you just want the increased turbo sounds, I would suggest removing the intake silencer. This will not effect the tune.
The "Stage II" level of modifications is probably the most common/popular with these cars. At a basic level, it requires a new downpipe and a tune. There are lots of different opinions on what downpipe (or full turboback, that is a downpipe + catback) is best. But first we have to discuss what your lifetime plans are for this car.
If you don't plan on much beyond ~325whp, then a Stage II level is fine. If you foresee wanting more in the future, then I generally recommend a turboback exhaust, upgraded fuel pump, larger injectors, turbo inlet, intake and protune. This can all get expensive really fast, so make sure you have done your homework and drawn up a plan. No one likes to spend extra money to re-do something you modified previously.
That should get you started. Do some thinking and get back to us.
Once again, welcome to IGOTASTI.com!