There's nothing inherently wrong with dry nitrous systems. These systems just inject nitrous. They rely on a piggyback ECU, chip, or vacuum signal to the fuel pressure regulator to add fuel. All nitrous systems tend to be set up on the rich side from the factory to prevent detonation. Usually more power can be found by leaning out the mixture a bit, but be very, very careful doing this.
I don't think I'd add nitrous to my WRX though. I'd rather have a UTec, turbo back, and uppipe. These parts are basically just freeing up what would otherwise be wasted power. Nitrous is like adding a bigger turbo in that it actually puts more load on the engine to make more power. Nitrous increases cylinder pressure to levels that the stock engine wasn't designed to withstand. That's why I feel it isn't a good idea. You may get by with it for a while, but eventually something will give. Serious nitrous racers build serious nitrous motors with billet cranks and stronger rods and pistons. That's what it takes if you want the motor to live through the hit over and over again.
Speed costs money. How fast do you want to go?