Personally, I wouldn't cross shop the two. I'm not saying there aren't individuals who do; I just wouldn't. While they may be similarly priced, I don't see them as competing vehicles. The WRX is marketed more toward a younger crowd, while the SHO is seen as a performance sedan for a more mature crowd. Obviously, there is some overlap in their capabilities, but they're primarily designed for two different types of consumers. Due to its size, the WRX may not be the most suitable vehicle for a sporting family that enjoys travel, but the SHO offers a more refined and spacious cabin that would be a great fit. The SHO, while possessing impressive performance, doesn't quite have that raw feel that an STI has. Therefore, it may not appeal to the 20-something who wants to "feel" the road. There will be SHOs that are faster than WRXs and there will be WRXs that are faster than SHOs. It's all about how much money you have and where you want it to take you.
With all that being said, I'm 27 and I drive an MKS. There will always be exceptions.