DISCLAIMER: No guarantees, but it worked for me. If your car explodes, that's your problem!
I have always HATED pushing the remote button twice to unlock the car. I hated it on my Audi S4, and I hated it on my STi, and now I hate it on my GT.
So, I downloaded the appropriate pages of the Legacy manual, and figured out how to fix this problem.
There are two wires out of the control system. One wire sends a signal to unlock the driver's door when the button is pushed. Then if you push the button again (with the right timing, which I always get wrong), a different wire sends a signal to the other 3 doors.
This mod cuts the second wire, and connects it to the first, so when you press the remote button the first time, it unlocks all four doors.
THERE IS A PHOTO INCLUDED IN THIS POSTING. YOU MUST REGISTER AT THIS SITE TO VIEW THE PHOTO. PLEASE DO NOT ATTEMPT THIS MODIFICATION WITHOUT REVIEWING THE PHOTO.
1) Remove the panel under the dash on the driver's side. (1 pushpin, and 2 of those plastic pins with the philips-head 1/4 turn screw)
2) The OBDII diagnostic connector is snapped into this panel. Release it with a screwdriver so you can get this panel out of your way.
3) Put your back on the doorsill, and poke your head under the dashboard. You will see a black box under the steering column that has 3 electrical connectors plugged into it.
4) On the connector that is closest to the front of the car, examine the two wires that are on the very end. The top wire is red with a green stripe, and the wire under it is light green.
5) Cut the top wire (red with a green stripe).
6) Do NOT cut the light green wire.
7) Get one of those connectors that lets you tap on wire into another, then connect the LONG PART of the red-wire-with-a-green-stripe (the part thats coming from the wiring harness) to the light green wire.
8) There will be a short section of the red-wire-with-a-green-stripe that is left sticking out of the gray connector. Do not hook this to anything. Insulate the end with electrical tape.
9) Voila! It works!