As Savage Bulldogs said, did a little digging and it seems Borla do make compatible headers.
That said, I'm sure there are cheaper and more OEM ways to achieve the same result.
For clarity, could those interested post up their engine codes? I'm thinking a bit of digging may be in order, but if the 05+ MY have different ports to >05, it's a waste just for that 2(3) year model.
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Edit: My concerns, it seems, were well-founded. There are 2 types of exhaust, the first 00-05 (as far as I've seen)
http://opposedforces.com/parts/impreza/en_g11/type_35/exhaust_system/exhaust/illustration_1/
The second (05(6)-07):
http://opposedforces.com/parts/impreza/en_g11/type_37/exhaust_system/exhaust/illustration_2/
Now. For me, with the later exhaust, it seems as though I could just take an exhaust from a Turbo model and it will bolt straight on. I post this here so that you can confirm or argue that point.
The second observation I made was that the mid pipe back seem to be the same. SO for those with earlier models, would it be possible to buy a newer pipe (part 10 in the lower picture), bolt it to your existing back pipes, then, assuming OEM UEL headers fit, just relocate the 02 sensor to the rear cat and be done with it? This is on about an hours earnest digging, so by all means shoot holes in it.
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Edit 2: For reference, here's a Blob WRX Header
http://opposedforces.com/parts/impreza/en_g11/type_13/exhaust_system/exhaust/illustration_2/