My friend Ray is going to do dry sump oiling for his race-only STI. He and I have been doing quite a bit or research on the subject. Ray works at a race shop, Speed Tech, that builds off-road race trucks and dry-sumping is a must-do on those.
You are right about the price. The Cosworth kit is overpriced (as usual for them) and I believe it still uses the Subaru oil pump, which of course they recommend you upgrade to their overpriced version of that too. If I were going dry sump I would get an external pump that had the main pressure pump integrated into it, and bypass the Subie oil pump. I think you will find that even if you piece it together yourself you are looking at a lot of money - $2k-3k+ depending on how much fab. you do yourself or get free.
I do not know how serious this racecar of yours is going to be. I would be tempted to just upgrade the stock oiling system. Upgrade the oil pump to the 11mm 08+ STI pump or the 12mm JDM pump. Then get a better oil pan like the Cosworth or the Moroso and use an Accusump for insurance. A good oil cooler too of course. This set-up seems to work on Ray's car now (and sperry's too) without the Accusump.
If you decide to take the leap to dry sump:
One big advantage of a dry sump would be the scavenging. In addition to scavenging from 2 places on the oil pan it can also scavenge from the valve covers and the "catch can", aka air/oil separator. This would be an big advantage for an all-out Subaru.
Oil pan: We are going to do a shallow CNC aluminum one like the Cosworth. I have started drawing this on CAD. If you want one let me know.
Oil pump: The pump we are going to use is a "Daily Engineering" one. This is what Speed Tech uses, and they are very very nice. They customize them in whatever stage combo you need. And they have a stage designed specifically for scavenging the air/oil separator.
http://www.daileyengineering.com/
Oil pump mounting: The usual place to mount the oil pump is where the AC compressor used to be. A bracket would be easy to fab. for this. But Ray has been talking to Daily about mounting the pump low and on the oil pan. Check out the Daily sight for how this works, as they already do it for Viper, LS6, SBC, and BBC engines. They say they have a design for Subarus but I have not seen it yet. This will also help Ray because we are moving his alternator to where the former compressor location to make room for a custom reverse intake manifold.
Oil Tank: I don't know too much about this yet. These are readily available and some of the imported ones look decent.
AN fittings and lines: These cost a fortune. If you budget $1000, then it will end up being $1500+. Summit has good prices on Summit-branded AN fittings and hose. High quality and probably manufactured by a name brand company for them.
If you go to a dry sump system, please contact me. I want to productize the pan and maybe some other stuff to sell under the KSTech brand. We could work together on your car in combination with Ray's and save some money and engineering time.