Fortunately, the "hole" for the stereo in a WRX is very user-friendly. From 02-06 (maybe 07, not sure) the mounting points and wiring harness required are all the same.
Its a standard double din stereo..... so you can use a single din stereo with a pocket or compartment, or a double din... both will fit and look great.
Beware of stereos that fold open or slide out. Some will work, some wont. I have one, but I had to swap locations (stereo to the pocket, and vice versa). You won't need any special install kits or dash kits... just a wiring harness (under $10 on ebay).
In fact, even the factory mounting bracket is universal, so you can probably reuse it with your aftermarket stereo. WRXs are very mod friendly when it comes to stereos.