This is happening constantly on my 05 Legacy.
I bought the car used in 2008, it was a trade in at an Audi dealership where my friend works. I know it's not a Subaru dealership but that's where my warranty came from.
In 2009 I had to have a rear wheel bearing assembly replaced, I had no trouble with the lug nuts then.
The wheels were off for tire and brake maintenance and replacement maybe 6-7 times over the next three and a half years and once for another wheel bearing assembly and I did not notice any problems then. Some of the work was done at the dealership and some at my friend's home garage, but this is the same guy who is a mechanic at that dealership so it's not as if he can't be trusted to change a set of brakes at home.
Last summer I was driving along and heard a thumping that got progressively worse so I pulled over and all 5 lug nuts on the rear driver side were loose. The last time the wheels were off was for tire replacement maybe 3000-4000 miles prior to that. My first thought was that they didn't tighten them up enough.
I put winter tires on around November. In February the same thing happened to the same wheel. My friend put the tires on last so I accused him of not torquing the lug nuts enough and he was sure that he torqued them according to specs so he looked at it and found that all 5 studs on that wheel needed replaced, he did that and checked the other 15 lugs nuts for tightness.
Last week he replaced all four brakes and rotors for me and said that every wheel had loose lug nuts ranging from all 5 to only 2, but every wheel had lug nuts that were only hand tight at best even on the wheel with the new studs. I'm thinking that wheel itself might be damaged from this happening so much and maybe the holes have become bored out and that's causing stress on the studs, but I'm not a mechanic.
He fixed everything that he could find wrong, except another wheel bearing that we have to order, the car has a healthy appetite for wheel bearing assemblies. At this point he is watching for this problem and put a lot of care into making sure it's as safe as he can get it. I drove to work and back, a total of 20 miles, and when I got home the front driver's side had all 5 lug nuts loose enough to spin with your fingers again and the rear wheels had a few that were loose enough to feel with the lug wrench. 20 miles after he went over these things with a fine tooth comb and the front wheels were never a problem before.
Right now I guess I'm looking at getting 20 new studs, 20 new lug nuts, and possibly new wheels if I'm right about them being damaged like I think. And like someone else mentioned a torque wrench would probably be a wise investment.
I love my car, really I do, but in the past I have had much lower quality vehicles worked on by people who aren't even hobby mechanics working with the bare minimum of tools, they certianly didn't have a way to measure the torque on the lug nuts, and this has never happend to any other car I've had. One of those lesser quality vehicles was a Cavalier with after market aluminum wheels, you guys say the aluminum is a little touchy, I still didn't have this problem and that car's wheels were off almost every 3-4 weeks for a variety of things that kept breaking.