My check engine light came on so I went to autozone. The error code was Po420 "Catalyst System Efficiency Below Threshold". Does anyone know what this means?

yes
you have a downpipe?
if you do this will come up unless you have a mechanical fix for it. If your car is stock then you may need a new 02 sensor.

You might need a new cat. I've shaked one pipe with a 420 and there were like rocks in the cat :D

-paK +9

year?
make?
model?
engine?
mods?

Tim my car is stock 2002 Impreza Outback. I had the car in the shop previously because the check engine light was on. On that trip the mechanic said I had a bad O2 sensor and all four cylinders had misfired. He changed the plugs and cables and changed an O2 sensor (I believe there are two O2 sensors). After this the check engine light was off.

Also, there is loud vibration that sounds like it's coming from under the car while shifting from 1st to 2nd, and from 2nd to 3rd at about 1750 rpm. It also occurs at 2750 rpm if I rev the engine while in neutral. The mechanic never caught it, Autozone guy said sound it sounded like an exhaust problem (leak?).

Any guesses what my be going on?

a po420 means that it needs catalytic converter and it sounds like loose heatshields youre complaining about