A stock WRX/STi comes with a BPV (Bypass valve) which is a vacuum-actuated valve designed to release pressure in the intake system when the throttle is lifted or closed. This air pressure is re-circulated back into the non-pressurized end of the intake before the turbo.
An after market blowoff valve (VTA) does basically the same thing BUT unlike the stock unit it releases air to the atmosphere (giving you the loud sound). Some people see an after market BOV on a stock WRX as being in poor taste (probably due to the fact that it is basically a noise maker that really as no other benefit), while others simply find the sound very attractive.
Proponent opinions notwithstanding, there is a small mechanical downside to having an after market BOV (VTA) on a stock WRX. The problem comes when releasing air to the atmosphere that has already been metered by the mass airflow sensor. When the BOV releases (blows off), the ECU will be injecting the wrong amount of fuel into the cylinders. The engine temporarily runs too rich (meaning too much fuel is injected into the cylinders). This temporary rich condition isn’t typically THAT harmful, but it may cause bucking or hesitation on lift-throttle as well as some other concerns outlined in the links below. The rich condition can NOT be eliminated by engine management or tuning.
Links for BOV info:
Sinister's BOV FAQ
Unabomber on Nasioc
Davenow on Nasioc