Heard some stories about how replacing one of these can be beneficial and helps the motor run better. Whats the steps to go about replacing one of these and what to look for?

Test the diaphram of the EGR with a vacuum pump and see if it holds.(Or you can compress it by hand then plug the vaccum and see if it stays open. If it does not the diaphram is shot)) If The diaphram is holding vacuum, you can just clean the body of the valve. Soak just the bottom, not the shaft in some carb cleaner/keroseen/ some klinda solvent. Then let it dry and scrape off what ever else you can. Make sure it is sliding smooth and operating when vaccum is applied. Put a tiny bit of lithium grease on the shaft where it slides through the base. Then scape and pick all the crap out of the passages too. I use a shop vac with a series of fittings to reduce the tube down to a piece of 5/16 vinyl hose to get suction down in the manifold. Reinstall and you're good to go. Check that the vaccuum tube going to it is no cracked or hardened. If so, replace.

Id just assume to buy a new one, how much would that run me.

Even if you buy an new one, you NEED to clean out the passages or else it won't work right. If it's working there really is no reason to buy another. If it's clogged and not working the passages will be clogged too. Find a street sweeper bristle, or an old bicycle spoke to use as a scraper.

Id just assume to buy a new one, how much would that run me.

 

Call a parts store? Call Subaru? Look on online parts website (IE: http://www.rockauto.com)

 

Don't make us do the work for you