The main thing it will do is reduce the pressure drop caused by the stock plastic Y hose. This will cause your turbo to spool more quickly and work more efficiently.

Secondarily, it's about 5x more durable and heat-resistant than the stock plastic Y hose. There are numerous accounts over the years of peoples' Y hose melting/cracking at the turbo outlet.

This Y hose (usually part of a 3-piece set for $120-$130, the other 2 hoses being pretty much totally for cosmetics) is quite possibly the singlemost common mod done to WRXes.