If it does it under load, but not when you are revving the engine..then it's something in the drivetrain and not the engine. If it's a rotational sound (gets louder the faster you go, or something like that) then it's more than likely a front wheel bearing. Does it go away when you push the clutch in? (coasting in gear, clutch pushed in)...if so, then i t could be a clutch bearing, or input shaft bearing (unlikely with these cars).
Based on what i know of the 02-03 wrx's...you most likely have a bad wheel bearing.