See
this post at clubwrx for a solution to allow most 6.5" speakers in the front. I've seen a few NASIOC people recommend these, and I plan to get a set. They should allow most of the really nice component speakers like the Diamond HEX (2.13" depth) or Focal 165K (2.72" depth) speakers. I imagine the Focal Utopia 165W with a 3.08" depth is just plain not going to fit without some major work.
For the rears, most people seem to be going for 5.25" coax speakers. A couple of the silly local installers don't want to do anything other than 4" since they don't want to actually have to
do anything, but most have agreed that 5.25" will be not much work.
Note that I haven't actually received my STi yet, so I haven't tried to actually install these speakers. I'm going to order some 6.5" components for the front and some 5.25" coaxials for the back.