I try to change my oil every 3,000-5,000 miles. Owner's manual recommends 6,000 mile intervals, but some folks here and the folks at the Subaru dealership where I bought the WRX recommended every 3,000 miles due to the turbo and some folks saying the use of the turbo may qualify it for "harder" driving conditions.
I figure $40 every so often (oil and the filter) is worth the peace of mind for doing it slightly more often than the manual recommends . . . as mentioned sometimes it's more than the 3,000 mile figure, but never more than 5,000 and below the manual's mention of 6,000 so I'm still strictly adhering to the manufacturer's maintenance recommendations (just in case I ever need any warranty work done I figure it's good to be able to show that I followed the recommendations.)
I always buy OEM Subaru oil filters . . . generally I go with Penzoil Synthetic . . . sometimes Mobil 1 (although I know some folks are not huge fans of Mobil 1).
Changing the oil is a breeze. Drive WRX on to ramps. Place pan under oil pan. Unbolt oil pan plug. Drain. While this is happening open the hood and screw off oil filter. Screw new oil filter back on. Replace bolt and new crush washer. Refill with oil. Back off ramps. Recheck oil level and add if necessary. Why some folks do oil changes at the dealerships astonishes me since I am nowhere near mechanically inclined and Subaru has got to have one of the best set ups to change oil for the DIYer . . . it's a 10-15 minute job if you're working at a normal pace . . . no skid guards to move . . . no weird contortions of the body to access the filter or drain plug.