HIDs came standard only on the STi, and they are reflector HIDs, not projection. The 2004 WRX comes standard with non-HID headlights. FYI, the "HIDs are illegal" law applies to California and some other states. It is not illegal everywhere in the US.
The specific verbage (
http://www.chp.ca.gov/html/streetlegal.html) says:
Blue and yellow headlights. Headlights must be white - blue and yellow are illegal (24011 VC). Look for the DOT symbol on the bulb and package.
Headlights brighter or higher wattage than those from the factory. You may be able to see better, but the lights are illegal (24011 VC).
However, from personal experience, I can say that as long as your headlights are not aimed too high, you won't be hassled... as long as you don't draw further attention to yourself with a loud exhaust, loud stereo, etc.
shadowcat