The stock Evo boost control system is actually pretty good; wastegate duty cycles are controlled based on load, which gives a decent approximation to boost if you're smart about it.
The problem is, it can't actually hold boost beyond about 21-22 psi without modification. One popular approach is to remove/resize the restriction "pills" in the stock vaccuum tubing to the wastegate/compressor housing, but that only goes so far.
So, the next big thing (for those unwilling to switch over to a manual boost controller) is a 3-port GM boost control solenoid (AC Delco part number 214-474, or GM part #1997152; the wiring pigtail is AC Delco part number PT-374). You completely replace the stock BCS with the GM unit, which gives you more than enough fine-grained control and higher boost levels than most folks will ever need.
So, of course, I installed one today. ;) The installation went pretty smoothly; you just solder a 10-ohm/1W resistor into one of the pigtail wires, snip the stock BCS plug and solder the pigtail in it's place, find a convenient place to mount it, and the replace all the vaccuum lines from the compressor housing, wastegate, and post-MAF intake pipe to the new solenoid. After that, you start dialing in your wastegate duty cycle, boost error correction, and boost desired load tables. Here's a tip: don't accidently reverse the intake and wastegate lines; you'll find yourself dramatically overshooting whatever boost levels you think you've tried to dial in. ;)
So far, I'm happy, but I'm still running lower boost than I would under normal conditions. Over the next few days, I'll get back up to 22-23 psi, and see if I can get it to hold without tapering off. One interesting thing is that, because you can taper off the boost slowly with RPM if needed, you can pretty much completely eliminate boost spiking. Nifty stuff.
Next up in the area of boost control: adding a JDM MAP sensor, and changing the car over to targetting boost instead of load, which will inevitably make more sense when tuning.