On my 07 WRX, I have a Whiteline 22 mm adjustable rear sway bar coupled with Kartboy rear endlinks and Perrin Stout Mounts. I also have a Whiteline 24 mm adjustable front sway bar with stock front endlinks. I experimented with Kartboy's front endlinks, but they just didn't quite work with the Whiteline front bar for some reason (with and without the provided spacers). The fitment was just slightly off, so I gave up and sold them. The stock front endlinks are plenty beefy though. If I were to choose any aftermarket front endlink, I'd probably choose a design similar to the stock ones. The stock rear endlinks are the real weak point because they're plastic. Just about anything is better than those. The stout mounts weren't really necessary - I just picked them up because I got a pretty good deal on them at the time and also for the bling factor because you can see them through the wheel wells if you look closely.
Some people claim that you should upgrade both the front and rear bars at the same time (which is what I did) or you risk creating some odd handling characteristics. Others say it's ok to only upgrade one or the other, although snap-oversteer can be dangerous in an emergency swerve situation, so try to avoid that one if you can help it. My advice would be to save up and do the front and rear at the same time.
Mine are considered to be medium-sized bars and even if you were to go with larger or smaller aftermarket sway bars, the difference between them and stock equipment would still be night and day just like Joshua said. The adjustability factor is definitely nice because I like to soften them in the winter and stiffen them in the summer. There is a difference between wagon and sedan sway bars so make sure you get the correct ones for your car. Other things to consider are: solid vs. hollow design, welded points, adjustability, tendency for the finish to develop pits and/or rust spots over time, and color (although you could paint any bar any color if you really wanted to).