Probably a Blow Off Valve (BOV). I take it you did not buy your car new and were not given a good description of the modifications that were done to your car?
Sounds like your car has several mods on it. You should seriously consider taking it to a tune shop to have them properly tuned for. Not saying the previous owner didn't do that, but better safe than sorry. BOVs can be extremely damaging to the car if not accounted for. Even if you are going to get a tune, you might consider tracking down a stock BPV to replace it with...
04 STi 16G powered lagless fun
04 WRX: SOLD