I definately enjoy my M2. Freeing up the airflow for the WRX really changes its whole attitude so if you like it now, you'll LOVE it once you get a couple of mods on it.
I'd definately recommend the M2 system, but there are some interesting looking products coming soon. The TurboXS downpipe looks VERY well made, and the Vishnu Downpipe looks like a masterpiece (plus it will work with your stock exhaust AND with aftermarket parts once you decide to upgrade).
You'll also want to swap out your uppipe, the install is a major pain but SO very worth it. On that front again Vishnu's Uppipe looks awesome. M2's uppipe has an additional bung for and easy EGT gauge install, and my WRXPower uppipe is heat coated, has a lifetime warranty, and comes at a great price.
So, you have a lot of options to consider. Just watch out, because when you start modding your car, you never stop.