If you expect to hit rocks and rally then you will need one. The STi has a plastic skirt underneath that won't hold up off-road. Don't know who if anyone makes one. I haven't looked though. You could always have a local fabricator make you one.
This IS exterior... Anyway, I know there's a company called Primitive who sells skid plates for Imprezas, not sure about the STi. I agree with darwood that you only need skid plates if you're going rallying. Or you might just use it as general protection for the underside of the car, especially the diff. Why don't you have a look?