Off the top of my head the big ones are :
the wheel bolt pattern (the 04 has the same 5x100 as the wrx, usually STI is different at 5x114.3),
obviously the whole exterior styling package (hawkeye vs blobeye, tail lights, hood scoop size, interior controls, etc...)
Some minor chassis stiffening
I think the 04 and the 06 may have different internals for the rear diff. This is mostly inconsequential except for what fluid you put in them
Minor engine-bay reorganization?