Okay. The subject of a cold air intake on a WRX is a very hotly debated topic as of recent. I feel it's time I explained to you what the REAL problem is. A cold air intake is not bad. Cold air is always better than hot air. Even on a WRX.
Having said that, however, I must explain why everyone (including myself) advises against them for the WRX:
The DESIGN of the cold air intakes is the problem. If you look at the cold air intake, the filter is located inside the fender. For the filter to connect to the inlet of the turbo, the air has to travel through a pipe running through the inner fender and then to the turbo inlet hose. The problem is the way the pipe has to curve just after coming out of the fender to meet up with the stock turbo inlet hose. It makes a rather severe turn, then goes past the MAF sensor, then makes another sever turn. The turn right before the MAF sensor is the problem. It makes the air flow past the MAF sensor at a different angle then the MAF is used to seeing. That is what causes the lean conditions.
http://www.cosmo-graphics.com/temp/CAI.jpg
That is also why short rams don't have that problem.
http://www.cosmo-graphics.com/temp/short_ram.jpg