What'd you get for EM?
I had a Cobb AccessPort for my 02 WRX Good cheap, easy to use and self programmable (not to mention oodles of shops that support it)
Though depending on your planned upgrade path I've heard STi folks swear by the Greddy E-Manage.
Also... a word of warning... I've never met an STi owner that wasn't a complete A-hole... I'm not sure if these people were A-holes before or after buying the car, and I know you weren't one before you bought it so just be careful that the car doesn't make you become one
(in all seriousness though, my fiancee and I used to joke that the Subaru Dealership would to a test to ensure the buyer was a jackass before allowing them to sign anything
this came after attending countless meets where you could pick out the STi owners in the group simply because they were the ones being the most douche-baggy)