If you don't own any of them yet, but an Evolution first. You'll need it for both Beginner & Amateur races. A Skyline is necessary for Amateur and Professional Red Emblem races, but you can win one easily before you need to run in those. The Subaru is not necessary for any races but can compete in the Boxer Spirit races in Amateur and Professional Leagues.
So in order of necessity, it is Evolution, Skyline, then Subaru.
If you just want raw horsepower, the Skyline wins hands-down. They'll go from 800-1000hp depending on which version you buy/win and they're good cars. They weigh a lot and tend to remove the steering wheel when you put that Stage Four turbo in, but they're the most powerful.
The equivalently-priced Subaru 22B is nowhere near as powerful, but weighs considerably less. It is still not as good with power to weight as the Skyline though.
The Lancers... well, they can only use a stage 3 turbo. That is plenty for many races, but they fall short when it comes to racing the big boys. The Evo VI RS has a great power-to-weight as far as Evo's go, but doesn't get the AYC that the GSRs do. Frankly, the lower weight compensates enough for my tastes so I go with it. That it runs half of what a Skyline or 22B does makes it even more attrative.
So for power, it goes Skyline, 22B, Evo.
Hope this helps...