J have recently bought a hatch back sti.

Does anyone know of the best exhaust to buy? 

Depends what you are looking for in terms of sound, noise level and performance.

I have run Prodrive backbox with standard system - nice not too loud but a little restrictive

Straight through system with Milltek back box - better performance and a little deeper and louder

Cobra system and back box, same performance as Milltek but louder.

Will potentially switch one or the other for an Invidia system to match an Invidia rotated setup.

Spend some time on youtube to get ideas for sound.

Cobra is very good value for money / quality solution though