Depends on what you want to do specifically, and your budget. Check out the first page of this thread and it'll tell you everything you need to make an informed decision.
That said, if you want to go "stock", it seems that going with KYB struts and stock or other springs (ex: WRX springs) is a good combo. If you want lowering and are on a budget, Raceland coilovers are an option, but there's a ton of mixed reviews. If you want performance, there's a host of other options, but entry price starts around $1K (US) and only goes up from there.