I have noticed that the tranny slips when it is cold only when shifting into 3rd gear 66000 miles and fluid changed regular but never changed tranny filter would a filter change help or is it something i will have to live with?

This is probably something you have to live with until or unless you want to replace the transmission. Or, if you know somebody that works on transmissions for cheap(ish), you may be able to just get it fixed. If it's only slipping at one gear, it's probably an engage problem for the specific gear, which could be caused by any number of things but is probably a semi-permanent gear issue. Unless it gets worse, I'd say just leave it alone. It's going to cost a pretty penny to fix it, and it will cost almost the same to replace the whole transmission when it finally gives up the ghost.

ok I guess I am asleep at the wheel here in the great northeast forgot that my suby 1st shifts at 2 mph so it is slipping in overdrive not 3rd,
put it in drive instread of overdrive yesterday and it didn't seem to slip so i guess i will use drive when cold.
the car never see more than 40mph on a daily basis only 2 miles of city driving to work.

yeah subi auto tranny are a bit sluggish when there cold so its just something thats gonna happen, even when they are new they still do it...ive had three now cant wait to convert to a 5 speed

ok i can live with it had this one 6 years now and haven't had any trouble till this year
thought it might be due for a filter change fluid looks good
never abuse it just want the awd not a bad slip only revs 1or 2 hundred so i will just ignor it for now
thanks for the info everyone