Your Subaru suspension includes four struts that not only dampen suspension movement, but also are a critical load-bearing part of the suspension and steering. The stock Subaru dampers are good, but an aftermarket item will have extra features above and beyond what the OEM strut offers -- some, like the Koni yellows and the KYB AGX, have adjustable damping, for example.
If it's just a budget replacement strut you are looking for, the KYB Excel-G for Subaru WRX provides a factory ride quality, but at a value price.
Terminology note: A shock absorber and a strut are basically the same thing, but a shock absorber (or just "shock") is not a structural or load-bearing part of the suspension, and a strut is. For our purposes, we sometimes use these words interchangeably, but technically all Subarus have struts, not shocks.