You driving a manual I assume? WRX's do tend to have sticky first gears, its a fairly common problem with the Subaru transmission (usually reverse is a little iffy too). When you shift into first is it sometimes like grinding the gear? I've driven a couple civics that did that, and the key is to ease the stick in to the gear, hold it just at the point where its about to change, and wait for a second, try to feel the right time to shift into first. Then shift confidently.
A decent amount of cars do that, my GTI did a little when I first drove it, but now that I've had it for a while I have the sweet spot.