I've just bought a 2005 WRX and on one of the sets of keys with it there's a little black subaru box that you can open, and inside there's a little foam padding on either side.

What's meant to go in it, spare battery for the keys? I've no idea

 

My 2002 WRX has something similar, you could remove a small piece of the radio and put it in there so it was unuseable if somebody stole it...not that many people would want to steal it, not exactly universal fitment! but I suppose it was a deterent

 

Thought that at first, my dad used to have Cavs and Mondeos with that kind of thing years ago but I couldn't see any removable bits. Plus would anyone really want to go to the trouble of stealing those HUs

 

From memory (never a good thing! lol) the right (may be left!) bottom corner has a block of 4 buttons, this was removeable, little slide switch to release it. Post a photo, then you can tell me how to post photos as I haven't worked that out...lol

 

is it a little square box as i had 1 it was for my locking nut for the wheels