I'd just grab either an STi up-pipe, or one from an '06-'07 wrx. WRX has a EGT bung, STi units do not. Not that you'll need it...
Benefits of OEM: Catless, heatshield, oem materials retain heat better, looks stock for inspection, flex section aids in leak-free installation.
Benefits of Aftermarket: Catless, pretty... Some will say that shape / size is optimized for better flow....I have sincere doubts that any actual R&D went into a slightly bent 14" long piece of pipe.
That's just my opinion.
J- If you decide to go with just the first section of the downpipe, I have a Bosal divorced downpipe. I change my mind every few hours about whether or not I'll do any mods to my WRX. I don't know about all years, but '02-'07 are interchangeable where uppipes are concerned.