One major thing I've learned by owning a WRX for the past 4 years is: Damn Subaru, you noisy!
But there's an explanation to every single rattle there, you just have to approach it in a trial & error and elimination way.
I had a very annoying turbo heat shield rattle after I took it off and back on but by using only 3 out of 7 bolts to secure it. It rattled exactly at 2,500 RPMs despite conditions. I was convinced the turbo was kicking the bucket. Took it off (the shield) to test if that's the case, and the noise was gone despite not being able to detect it manually by touch. Things may not appear loose when you inspect them but will produce sounds while under stress and engine vibrations, which exceed strength a human hand can produce.
How about tapping all of the exhaust system (from downpipe all the way to exle-back) with a light hammer or wrench? Do you know if any modding or repairs were done by the previous owner? I can tell you from my experience that whoever took the heat shield off will not use all 7 bolts to put it back on, since it sux, result: say hi to rattles.
Have someone else drive while you listen, or rev the engine while you inspect it under the hood.
If the sounds is very audible, maybe you could record a video clip and post it on youtube so we could hear it?