I had a 04 STI.
04-07 are the best. After that they were all lawyered up on electronics and you can't drive the thing without having to turn all of it off first. Also they ate tires. From 04-07, they were just raw, hot, awesome power.
An STI will NOT be cheap. Engine and transmission failures are often, even with a stock vehicle. When I sold mine with 30k on it, I already had to have the timing belt replaced. The clutch, brakes, tires, and transmission all needed work.
Forget the WRX. You will be wishing you had a STI.
For daily driving, they suck. That car has two low end speeds; 0 and 80 mph. The way its geared and the power band, you are pretty much always speeding. Also every jack face in an Eagle Talon tries to race you. That gets old. Here I am, just trying to go to buy beer and chips, and this jerk is revving his engine. At first this was cool, but then after the blue lights start coming around, this gets old.
And yes, cops follow you and everything in that car.
Overall nothing about a Subaru is cheap. They don't get particularly good mpg and the turbo engines require a lot of maintenance. So that leaves you with a dog normally aspirated engine.
That said, I put that SOB on cruise control through the tail of the dragon. Its difficult to find a car that'll go around a corner as fast as that vehicle.
If you are looking for a newer vehicles, Hyundai Elantra. Yes its as exciting as this stapler sitting on my desk but they are cheap, super reliable, great mpg, comfortable, and can be a bit fun to drive. Kia is based off the same platform but not as good quality. Everyone I've rented seems to have the cheapest interior ever.
Right now I'm stuck in Chevy sedan land. They work and I ain't afraid to work on them. The only issue is that so many of them in the used marketplace were rentals so they haven't lived an easy life.
Acura TSX. You can get them with a manual and pretty peppy. At the end of the day its a fancy Honda so it'll last.
Lately I've been doing research on the 4 door Hyundai Genesis. With the V6, they are pretty peppy, RWD, well appointed, and cheap. A 1 year off lease is in the $25~28k range. Not bad for a full size luxury sedan. MPG will be in the mid-high 20s. Once again, not that bad. In 2012, they went with the 8 speed auto which is what I'm looking for.
I REALLY REALLY wanted a Cadillac CTS, especially in either the wagon and/or with the V8 and manual transmission. However they aren't reliable for crap. I've got two friends with V6 CTS sedans and both of them are constantly in the shop. And everytime its like, brake module, body control module, etc. Always a computer. Hence why I've been looking at the Genesis. Its like a CTS, but actually reliable.
Speaking of American sedans, I'm hearing issues with pretty much all of the newer ones. The Chevy cruze is a POS which makes me sad. The Cruze LTZ is the only one I would get but they just kinda blow engines whenever so, forget that. I can't trust the new Impala...yet. The old Impalas are solid up to a point. The Ford Focus was and still isn't getting good reviews. The Fiesta is a solid POS machine. If the Dodge Charger is reliable, they are pretty pimp. Rented one a couple of years ago. Was fun.
The stupid Prius really is the way to go. They just get great mpg as long as you are riding by yourself. The Lexus CT200 is a great Prius version...that isn't a prius.
I want to recommend the VW TDI's, but these exploding injection pumps and VW NOT warrantying them is a big red flag for me. Also with the body change in 2010 (I think that is what it is), the Jettas got a lot cheaper. You could go with a Golf or GTI. Both would be fun, small, and decent vehicles.
You could get a used BMW but you won't get reliability nor mpg. That said, they are super fun and super pimp.
Those are my observations. I like my big sedans so I'm biased that direction.