After reading every page in this thread I wanted to contribute.
Bought a Key fob for my 06 WRX off ebay from "keys_star" put a battery in it and spent 2 hours try to get it to program. It absoulty would NOT beep.
Solution: I disabled the alarm then reinabled it. Unpluged the 'keyless entry system' under the drivers dash and unpluged the chime in the front of the grill, plugged both back in after insuring the connection was good, and then did the long process listed in the first post. My wrex is 7/05 and I had to use the 06+ method.
Walah! It works!