MSP has the best FWD road feel and responsiveness, even (hurts to say this) better than a MiniS. Close, but better. Both feel like go-karts, the MSP more so. As a result, the MSP is a little darty on the highway, and lacks the availability of cruise control (makes up for it wit sound system, I guess, and better seats with lower cushion rake adjust - missing on the Subie). Also, when modded, the trans and LSD are known weak points.
WRX may be sturdier, of course has AWD and more power, and better aftermarket support. It's a little softer feeling, less darty, has cc available, and is a "makes sense" sort of small performance car. It's also costlier. Stiffen up the suspension and replace the WRX steering rack with an STi one (quicker ratio) and they're nice. Consider the Saab 9-2 turbo - it's a WRX, but with the STi steering rack and some nice Swedish-inspired (think "Ikea") interior goodies. Still no rake adjust on the bottom seat cushion (last year anyway, don't know if they added it). they had some nice financing and discounts on those last year.
ITR? also sturdy, a little cheaper feeling (tinny Honda doors), and you see them (or various forms of them) everywhere. They last forever.
Celica? No bottom-end grunt, feels like you're driving in a bathtub, VVT engine needs the whee revved out of it to feel powerful, looks great, a little more boy-racerish when modded, a little too "secretarial pool" with skinny tires.
If you're really spending, there's a dealer (3 Rivers VW) in Pittsburgh that has a 30-mile R32 in silver with leather for 27,900 that they've been advertising for months... they may deal... and those are unbelievable-sweet.