The track of the saloon is 15mm more than the wagon, the rear suspension is a little bit shorter (no idea why) and it is marginally lighter. The wagon is more stealthy, fits more in (obviously) but only comes in WRX form these days. Performance-wise unless you want to go for the modability of the STI there is nothing in it.
For the minor price hike that an STI commands I would go for one of those as it costs a lot to get the extra performance on a WRX.