With every car I've had I've started the stereo by pulling the head-unit and the speakers. With the WRX I've decided to try and keep the stock head-unit and attempt to make it sound as good as possible. I like the looks of the stock unit and the fact that it has an in-dash 6 disc changer is pretty nice. It doesn't have all the wiz-bang features of aftermarket decks but, to be honest, most of the new ones have too many wiz-bang features. If I could find a dual-DIN deck that matched up the titanium colored interior perfectly and didn't have a giant LCD screen in the middle of it I'd probably go with that.
This stage is now complete and the sound is already about 100% better than stock. I replaced the speakers with Kenwood KFC-603 components in the front and KFC-1368S in the rear. Installation was pretty simple after getting spacers from Innovative Automotive. Good install pics and directions can already be found at ScoobyMods, these are what I used to do the job.
For the fronts I mounted the tweeter on the stock tweeter bracket and hooked the crossover to one of the existing bolts behind the door handle and attached it firmly with double-sided tape and covered with duct tape. I also did the vibration fix mentioned on the NASIOC forums by cutting off the plastic ring around the speaker on the door panel.
For the rears, I ran into a bit of a problem getting the door panel to fully clip and found that the spacers were just a bit big on the bottom and were hitting the panel. I simply sawed off a small amount of the spacer, cutting a straight line across the arc and then the problem was solved.
Next step will be to put a decent amplifier on the system, I'm looking at the Kenwood KAC-8401 to do the job.
Finally a sub will become needed. I'm thinking of going the WooX route or maybe even trying the Subaru sub since I'd like to be able to mount under the seat instead of taking up trunk space.