I was in a similar situation when I got my 2004 Naturaly Aspirated Subaru a few years back; as soon as I bought it, I started learning more about subaru, rallying, performance driving, etc and got really interested. It's possibly a sign of my newbiedom at the time that I really wanted more power (insert "tim the tool man taylor" references here;), but I ended up with a similar dillema to yours.
My own opinion after research was that trying to pimp up the power on the NA car wasn't really worth it; I'd spend half the price differential of a WRX, to get a warranty-destroying, questionable-reliability, lower performance hack, while still keeping the brakes, suspension, and all the other RS/TS bits.
At that point I decided to switch to a WRX; 6 months into my financing, it wasn't the smartest financial decision that I've ever done;), but it made me a much happier person than spending thousands of dollars on some bolt-on kits would've.
Few years later yet, and potentially a bit wiser though still dumb as a brick I'll admit, I'm not even sure I needed that much power. I'm not regretting the switch, but knowing what I know now, I might not have. I know for a fact I cannot myself utilize the full power of WRX properly (let alone the Stage 2 kit that I installed), and I'm honestly doubting I'd be able to push the NA car to the limit the way I know some really good drivers would as well. If I had to do it all again, with the benefits of hindsight, I'd put money into suspension, brakes, durability & protection, classes, practice, and improving my own skills.
At this point I'm not sure I'd even go for an STi swap, unless I got the differentials, transmission, suspension, etc in as well... at which point of course, matters become rather moot as to why not just get an STI
Just my 0.02 cents:)