Here are some basics New 06 wrx has 230h.p 235tq 2.5 liter, different body style.etc..
02-05 Wrx has same engine 227h.p 217 tq. 2.0 liter
02-03 Wrx bugeyes 04-05 different style

The good things are:
Awd
Great handling (awesome autox car)
Reliable
about 14.5 1/4mile stock
Look nice
Easy to upgrade (many parts available)
sound nice

Bad
Transmission can't take much over 350h.p (without being reliable)
2.0 liter
Top mount intercooler (you can change to front mount)

The single best power mods for a reliable Wrx are
uppipe
downpipe
catback
some sort of engine management ecutek,utec,cobb,vishnu,etc...
est 1/4mile after these around mid 13's
you could also get some sort of sti turbo (vf22,vf34,vf39,etc...) sti injectors,fuel pump
est 1/4mile high 12's

Most people get around 20mpg or more

Some good forums full of info are:
nasioc.com
clubwrx.net