In my opinion, going to the dealer for alignment issues is the wrong answer. If it's in spec (and the specs are very wide), they'll say it's fine. Go someplace that you can give specs to, and they'll give you a print out when they're done showing you what the car is aligned to. I've used Sears with good luck for the past few years - may not be glamorous, but I write the specs I want (not what their computer says is acceptable) on the sheet, and then I check their printout when they're done. Easy.
I have heard of some people having "memory steering" issues due to soft rack bushings, particularly on the STi with its higher rate steering rack. Can't say I've ever felt that on my car. Both of my Legacys, when aligned properly, track perfectly straight.
If you have to hold the steering wheel to the side in order to go straight, then you're steering wheel wasn't aligned properly when the alignment was done/checked. It's as simple as that.
Subaru's seem to come from the factory with a crappy alignment. Take your car to a decent alignment shop, ask for 0 toe all around and max equal negative camber up front, ask for a printout of the alignment results, and let us know how it turns out. Make sure the shop knows the car pulls to one side or the other, and that the steering wheel is off center a little bit.
'97 Legacy 2.5GT sedan