I'm sure its normal. I have a 2005.5 and my friend has a 2006 2.0T and they both sound like a diesel at idle. The 2005 has 70k and the 2006 has 30k. They both sounded like this since they were new. Hope this helps.
The noise you hear is the injectors. It take 65 volts to open the injectors. That voltage is needed to overcome the compression in the cylinder. your engine injects fuel into the combustion chamber not the intake manifold. Search direct injection in GOOGLE to get a better discription. If the noise is unsettleing(and your still under warranty) bring it into a shop and have them look at it. Better safe than sorry.
HAHA all my friends with their sti's and wrx's laugh at how low my engine's idle is! but the noise you hear is your injectors they use 65 volts to open the injectors and that overcomes the compression in the cylinder. but when i first got my car i felt the same way you did. ENJOY IT!