As long as you stick with a Cold Air Intake that has the same diameter piping, you should be fine. You won't gain much if anything at all, but you will be able to better hear the turbo spool. I have an Injen Cold Air which has the same diameter piping. I think the APS is also the same diameter, and maybe the K&N Typhoon (though I am not 100% sure on the last one here) If you have a different diameter piping it will cause problems with your MAF sensor.
If you want to hear the turbo then the easiest way is to get an elbow joint to fill in where you air intake silencer is.
I don't know what it looks like under an 05 but in my 02 I took the silencer box(piece thats in the fender well) out completely and left the ram piece to dump air into the well and of course left the piece that goes back to the filter, MAF, and turbo. I ran with it like that for over 65k without any problems plus it was free and you get to hear all that nice turbo noise but I doubt it(or any CAI) will add any power to a stock WRX. You could look into one of these as well if you want to keep the function of the ram piece http://forums.nasioc.com/forums/showthread.php?s=&threadid=511384&highlight=intake+silencer
If you are getting it tuned for I don't see that it matters which one you get. Any tuner can tune for an intake. One thing to look for (and the tuner will thank you) is for a CAI that has a nice straight section before and after the MAF sensor location. This enables less fluctuation in the MAF reading. As for more or less hp, Perrin just tested their Perrin CAI on the new 08 WRX and achieved quicker spool and more hp and torque. I found my turbo liked to spool faster when I had an intake on their too.