I have a K&N panel filter in my 07 WRX, and in fact, that was the very first mod I bought for the car and I installed it at 800 miles. Honestly, I didn't notice much of a difference between that and the stock filter since the whole car was basically brand new and I was still excited about it and breaking it in properly for the first 1,000 miles. It's really hard to notice a few hp difference just by driving it, but I'm sure it helped out a little.
Also, I realize your car is a 3rd generation and mine's a 2nd gen, but I'm sure the difference is probably about the same.
So, I guess to answer your question: no, I didn't notice any sound or power difference.