I have a Cobb catted downpipe and a Cobb turbo heat shield on my 07 WRX. Cobb's forged bellmouth is an excellent design. Unlike other 3" downpipes that have simply been stretched to fit the 4" oval opening behind the turbo, Cobb's forged bellmouth piece has much thicker walls. This will keep more heat inside which means your exhaust gas flow will be a little bit better and that's pretty much why you want to upgrade your downpipe in the first place. It will also keep a little less noise from entering your cabin which can be a good thing on longer road trips. The pipe is stainless steel so it will last a long time. You will be able to hear your turbo, wastegate, and bypass valve in action if you want to hear all those signature turbocharged vehicle sounds. It is designed to use either the factory-style donut gasket (so you could use the stock cat back if you wanted to) or a 3" 2 bolt flat gasket that comes with many aftermarket cat backs. The high flow catalytic converter helps with boost spike/creep issues with the 2.5 L engines and only takes away maybe 1-3 horsepower, if that, plus it's better for the environment. I experienced absolutely no fitment issues. It's lighter in weight than the stock downpipe. There is a hole near the back of the pipe for the factory O2 sensor as well as another hole with a plug in it near the top of the bellmouth for easy access during a protune. The only downsides I saw were the expensive price (most places advertise it for $595), the slight taper at the end of it to 2.5" (to accomodate the stock cat back if you choose to use that), and the fact that you can't reuse the stock turbo heat shield unless you cut it (you're pretty much forced to buy an aftermarket heat shield or cut your stock one, but this is the case with almost all larger aftermarket downpipes). There are many other less expensive brands, but from everything I've read, the Cobb seems to be one of the best. If you can afford it, I'd highly recommend the Cobb catted downpipe for your car.
07 WRX (Albins 5MT + Blouch 20G)
Jorge Carrillo Tuned (365 whp/340 wtq)