I have always ran the Continental DWS tires (I had the ExtremeContact DWS on my 2008 Impreza, and have used the PureContact w EcoPlus Tech on my 2010 Legacy). The PureContact tires are a very comfortable ride, and I get better than "rated" MPG's on the highway (averaging between 30mpg and 32mpg, or about 550 miles to a tank). This last winter was rather lame as far as snow was concerned, though the little we did get here in CT, I had zero issues with.
Otherwise, I generally switch over to dedicated Snow tires in the winter, using Continental ExtremeWinterContact tires on a set of Steel rims, which when mounted on the Subaru, are nearly unstoppable.