Due to emission standards, Subaru included a catalytic converter in the uppipe on the 2.0L WRXs ('02-'05). This is an issue because the catalytic converter has been known to break apart and subsequently get sucked into the turbo. This has since been fixed on the 2.5L vehicles.
If the "preventative maintenance" aspect doesn't entice you to do this modification, the power benefits should. You should see an increase in spool time by 500RPM (or more), and ~10hp gain. The best part about these gains is that there is no tune required to see the benefits like with some other power modifications.
A few "horror shots" showing the carnage of someone whose uppipe let go (pictures from a Nasioc thread by Davenow):
This can happen at stock power levels (a local guy here just went through this ordeal when his stock '04 WRX uppipe let go and grenaded his turbo), and the risk increases exponentially as you modify the vehicle. Any "StageII" package, even if not specified in the map notes, should include this modification.
To remedy this, it is imperative that you remove the catalytic converter from the uppipe as soon as possible. You have three options:
1) Gut the OEM one
2) Purchase an OEM STi or '06/'07 WRX uppipe (these were all catless from the factory)
3) Purchase an aftermarket uppipe
Gutting the OEM uppipe is the cheapest option. This only requires hardware not readily available to you, and new gaskets (~$50 from your local dealership). I have helped many people gut their OEM uppipe. If you don't have access to a vice to hold the uppipe, having a second set of hands will help, but isn't required (I've done them by myself). I've had good results using a long drill bit, a long flat-head screwdriver, a rubber mallet, some built-up aggression, and a 6-pack to get the majority of the cat material out. Once it's complete, I take a drill bit with a wire brush to do a final cleanup (you don't want to be lazy here) - a good flashlight (or even a snakelight) will help you see any spots you may have missed. Make sure you do this in a well-ventilated area (I've always done this outside), and use some form of respiratory protection (the cheap paper face masks are pretty cheap and do the job). The entire process usually takes me about an hour to complete being thorough (not accounting for removal/installation if necessary). Most people I have helped have purchased a second uppipe to allow us to gut one while having no downtime on their vehicle (they can then install the gutted one at their leisure), and sell theirs for the same price they paid. There is some belief that the hallowed out catalytic converter creates some turbulence, which would make this the least effective method.
Purchasing an OEM 2.5L uppipe saves you the hassle of gutting and purchasing any tools you do not have (or can't borrow). These can usually be found for ~$75 used, and also requires new gaskets. There is no cat to hallow out, so this should theoretically offer better airflow compared to a gutted OEM uppipe.
Purchasing an aftermarket uppipe is arguably the best option, considering the funds are available. A quality uppipe should run in the $150-250 range (figure ~$50 less if purchased used), plus the cost of new gaskets. Aftermarket uppipes tend to offer better airflow compared to OEM 2.5L ones (see TiC's thread here). With an aftermarket uppipe, there are two types: solid and flex. The OEM 2.5L uppipe came with a flex section, so it's my opinion that it was done for a reason, and you should stick with a flex section uppipe.
Subaru included an EGT sensor in the OEM 2.0L uppipes as a precautionary measure to check the healthiness of the catalytic converter. Since you're going to be removing the cat, it is no longer necessary to run this (EGT should be measured in the exhaust manifold for accurate readings anyway). Reusing the stock EGT sensor is only going to run the risk of that breaking off and getting sucked into the turbo, causing damage. If the uppipe you're installing has an EGT bung, then use a bolt (M12 x 1.25) to plug the hole.
There is a CEL associated with this modification that needs to be taken care of: P0546 Exhaust Gas Temperature Sensor Circuit Malfunction (High Input). This is often disabled with "StageII" maps, but if you're running the stock map, you'll need to do the "2.2 KOhm resistor mod". You can buy these at any electronics store (e.g., RadioShack), and should cost you ~$1. This resistor gets placed in the bottom connector just in front of the passenger strut tower.
On the topic of "eBay" uppipes, I would recommend against them. The quality of materials used is generally lower than of a reputable company, the gaskets supplied tend to be garbage, and the fitment isn't always great. You are far better off gutting your OEM uppipe if you cannot afford to purchase an OEM 2.5L or quality aftermarket one. One issue with material quality with "eBay" uppipes is the flex sections used, which have been known to break apart. Another set of pictures taken from Davenow (see post) showing a popular "eBay" brand uppipe that is sold by many vendors:
This post was written in hopes to make it easier for members to find information (I got tired of searching for Dave's thread). If anyone has any comments/suggestions for improving this, please feel free.
That was close.... Up-Pipe cat coming apart..