As a WRX owner I'm pretty shocked at how biased (and misinformed) some people are in this thread!
First of all just to be clear, I'm not a Nissan hater all, I've had a 300ZX TT and quite a few pulsars before, and I have mates with skylines.
Nissans are awesome cars, but so are Subaru's in their own way.
I currently have an 2003 STi and have previously had a 2000 WRX.
Moving from a Skyline to a WRX, I think you'll really appreciate a WRX so long as you expect it to be what it was designed for (an AWD turbo sedan/hatch).
It is not a RWD coupe so you can never expect it drive the same as skyline.
Firstly, yes the early 5spd WRX boxes are known to be weak, but treat it with respect and it will return the favour.
I.e. no clutch dumping, flat shifting, and one very BIG NO NO which people commonly do is installing a brass button style clutch. And obviously cars with close to double stock power at the wheels or more will have a much higher chance of failure. But these are all things you should expect from a fulltime 4wd.
I'm not sure if many Skyline owners know this, but the 6spd boxes in 02 onwards STI's are the strongest boxes Subaru ever built, in fact one of the strongest japanese boxes fullstop. They are completely at the other end of the scale compared to the 5spds in terms of strength.
Try googling broken 6spds, you'll struggle to find more than a couple instances around the world, if any. Many run around 300awkw+ with no troubles.
So please don't generalise by saying all WRX boxes are rubbish!!
As far as understeer goes, my car has none whatsoever, if anything I have a little bit of oversteer.
05 onwards STIs even have an adjustable centre diff to change front to rear torque split ratio, thus letting the driver control the amount of understeer/oversteer.
All non STIs have 50:50 split, but even with them understeer can be sorted out easily with a couple simple mods like swaybars, etc. My 2000 WRX had no understeer, stuck to the road like it was on rails.
And as far as being cop bait, are you kidding? All us performance car owners are in the same boat........ we are all the same to them. If it's fast, then it's a cop magnet full stop.
Oh and those who don't like the sound of WRXs....... hmm well that's purely an opinion because many including myself think they sound tough as, very deep and ballsy (with a good exhaust).
All in all, WRXs are awesome cars when treated well and modded correctly.
My suggestion is, if you want a WRX go for an 02-onwards STI, you get the tough 6spd gearbox/LSDs, forged pistons, semi-closed deck block, huge brembo brakes and heaps more.
02 STIs are a very tough piece of machinery and can be had as little as 20g, and willingly cope with mods and high boost.
PS. why are people comparing an EVO to a WRX?
EVO competes with the STI......... the WRX had no competitor from Mitsu for 12 yrs between 1996 till 2008, (the GSR back in the old days and now the Ralliart)
Hope I've helped the OP and others who may have been a little confused about WRXs.