Generally if the car with the gearbox you want is commercially available it's more sensible to just get the car you want with the gearbox you want. This means that since the Impreza was sold with a manual gearbox, it might be better to find one you want with that option.
If you insist, you'll need the gearbox, pedal set, ECU, I don't know about the harness, clutch assembly with both cyls, I believe the starter, and more stuff that I've left out. Something like this:
95 Impreza Auto--->Manual Conversion [Archive] - NASIOC
My advice... don't unless you're doing it just for fun and have a car to drive in the meantime.