http://www.fumotovalve.com/ BAM!
If you search on here, someone's prolly posted a 10 or 15% off code to knock the price down a bit.
At 1000 miles I went Synthetic, Mobil 1, 5W30 (and 15W50 in the summer during race season for a little more protection w/ all the heat). Mobile 1's the only thing I regularly buy at Walmart since they have a consistantly decent price on it.
Dealer purchased Purolators are supposedly the best filters for the WRX, tho I've also used the X2 Frams from Walmart... just don't get the cheap Frams, you might as well just toss a dixie cup in there to filter.
There is also the school of thought that says once you go synthetic, your rarely need to change the oil... just swap filters a lot and "freshen" the oil with by changing just 1 quart occationally. I'm trying it on my car now, and it seems to be working well (car hasn't gotten slugish the way it does w/ old oil). Changing the filter is the key. However, I won't necessarily recommend it, since it's not "tried and true" yet.
Definately go Fumoto Valve tho if you plan on doing your own changes... it really makes things easy: slide the bucket under, trip the valve, wait 5 minutes, close the valve, swap the filter, and fill 'er up! 10 minutes!