A friend of mine had his early 90's Saturn stolen (no lo-jack on that thing). After he had talked to the police and his insurance company, the thiefs brought it back! They had taken all of his tools, but left the car itself intact -- they even topped off the tank. He found out later that if the car had remained stolen, the insurance company would have paid him blue book -- in this case about 5 times what he could have sold it for.
<attempt to get back on topic> I wouldn't put the STi in the same category as a Saturn, but still, I don't know if I want to drive a car that had been stolen. With the exception of the Saturn scenario, most car thieves don't treat the cars they steal with the same respect as the owner. Given that, lo-jack isn't coming near my car.
Now, give me a service that tracks down the car thief (and leaves the car out of the picture), and I'm sold.