A Photo Finish
In the end, each of these three vehicles is more than capable of putting smiles on your face once you stray from the beaten path, but in a slightly different manner.
Looking for a decent dirt weapon that's also a tarmac missile? You'll be more than happy with the Mitsubishi Lancer Evolution MR, but depending on your lifestyle, you may find the sedan somewhat restrictive. Sure, there's seating for five, but a shallow trunk and a lack of a cargo pass-through means you may need to borrow a buddy's vehicle to bring home large cargo.
Subaru's WRX STI isn't quite as tactile as the Evo, but it does a better job of spanning the gap between race and road car. If you can forgive the STI's softer feel and bulbous form, you'll find a car that's equally thrilling, compliant, and practical in everyday life.
Regardless of your choice, both the STI and Evo may still need some work (and money) to make them perfect for a long blast off-road. Their tires, for instance, are typically designed for grip on pavement, not on loose surfaces, and ride heights and suspension tuning are typically dialed in for roads, not gravel and dirt.
Perhaps that's why we absolutely love Ford's F-150 SVT Raptor: just like the R/C buggy we played with as kids, the truck is a turnkey, ready-to-run off-road racer. Better yet, it still has the seating, cargo capacity, and payload of a standard half-ton pickup. If you can live with its massive size, you'll be rewarded with a daily driver that can be a springboard for all sorts of off-road adventures -- rallying included.