I sourced some used gold Brembos from a 2004-2007 STI from our local JDM importer, Virginia JDM Motors. I got them powder coated blue, partially because they were a little dinged up, but mostly because I just wanted them to look different. I grabbed an STi brake rotor/pad/lines combo kit that we sell, and the aforementioned adapter brackets, and bolted it all up.
Our rotor/pad kit also came with our Mach V stainless steel brake lines. Stainless lines don't flex under pressure like rubber lines do, which makes for a more solid pedal feel and better feedback under hard braking.
The STi brakes have larger and more massive rotors, but the aluminum calipers weigh a good bit less -- the entire swap removes almost four pounds of total mass, and weight is removed from the calipers (where we don't want it) and added to the rotors (where we do want it). The result is very solid pedal feel, and vastly improved ability to survive hard use like our track day sessions. Plus, the brakes definitely stand out under the wheels!
Note that the stock 2015 WRX wheels will not fit over the large Brembo front calipers. You'll have to run some different wheels, or use at least a 10mm wheel spacer in the front. Our 18x9.5" Wicked Awesome wheels have plenty of clearance, so that wasn't an issue for us. (In fact, we could put a much larger brake kit under those wheels, if we wanted...)
Products mentioned in this post: Mach V complete brake pad/rotor kit; Gold Brembo adapter brackets; Mach V 10mm wheel spacers.