Well, as the owner of both an '04 wrx, and an '06 MS6, as well as someone who has driven an '08 wrx, I'm in a pretty good position to comment on this.
I did not like the '08 wrx when I drove it. Although it feels a tiny bit faster in a straight line than a stock '04 wrx, it is suspiciously less fun to drive. You can't toss it into turns as you can with an earlier model imprezas, and the steering feels imprecise and squishy.
Although the interior is a minor improvement over the '04 WRX, it still pales in comparison to the mazda. Everything in the MS6 feels more refined. The shifts are solid and reassuring, and the suspension tight yet smooth. The WRX feels significantly more raw, but not in a good way.
Although moding the WRX is inexpensive, and the engine remains reliable to over 300 whp, you will actually get bigger gains from basic bolt-ons on the Mazda than on the subaru. For instance, whereas the power gains from an intake on the WRX will be practically imperceptible, you can easily feel the extra power from an intake on a MS6. (Yes, I have driven a MS6 with only an intake

).
The MS6 pulls harder and handles better than the WRX when stock. And you would need a bigger turbo to get the WRX to pull anywhere close to a MS6 with basic bolt ons.
In addition, the MS6 in the more practical car. It is bigger, and more ergonomic than the WRX. And it looks better too.
However, if you are willing to put $2200 into the engine (18g turbo and supporting mods) $800 into the suspension (springs, sways, end links, strut bars), and $600 into the brakes (rotors, pads, lines, H6 brackets). The WRX will outperform the mazda in nearly every measure of performance.
So, I hope this helps you with your decision.
PS. You could always get just a new S60R for nearly 20k off sticker like I did, and have a better car than either of them.
-Saucy