I've done the swap . The prices have come down a bit with the introduction of the USDM STi. Buy used, not new or you'll be in for $$$$.
A complete list of parts is tough until you know exactly which year you are looking at taking the six speed out of. Minor changes to things like the axle designs can bite you in the arse if you don't know what to expect.
A list of the main "must" have items:
JDM or USDM six speed (duh)
Six speed compatible clutch and pressure plate
shifter
shift boot
driveshaft (its different, but the stock WRX one can be modified by a good shop)
rear differential with a ratio to match the front diff in the six speed
A list of "nice" to have items:
A complete STi rear end with R180 diff, axles, hubs, e-brake etc.
STi front axles and hubs
I've said it before and I'll repeat myself again: the six speed conversion has the largest impact of any mod I've ever sampled for the WRX. It changes the character of the car completely. I also like the JDM six as a better match for the 2.0 than the USDM six. But that's just theory, I've never driven a 2.0 with a USDM six.
PM me if you want more details.
Steve
PS costs vary, but the Canuk Buck is strong right now. Figure 4 to 5.5 thou for parts. Installation would be extra of course.