Have driven the MazdaSpeed 3 and it's a nice car. However, you must be ready to deal with *serious* torque steer. Handling is good to very good. Love the looks, love the utility, like that it's an insider's car, the interior and gauges especially seem a little cheap and nasty.
I bought a 2007 GTI four-door instead.
We thought about another WRX (I had a 2003 four-door, white lowered with dark gray 18-inch Prodrives
). The 2005 WRX wagon was looking VERY good to me (2.5, real brakes, 17s standard, etc) but the wife wanted to do something different.
I've disliked VW/Audi products for a long time (old S8, new R8, and a few other exceptions aside) for their poor steering feel, mediocre (at best) ride/handling compromise (how VW turned out GTIs that rode AND handled badly I could not figure out), joyless (but powerful) 1.8Ts, and potentially atrocious reliability (based on horror stories from a few too many friends and family members).
So when the new GTI came out and got here for testing, I expected another disappointment. Wrong, the car is plain amazing. Piech's revenge kind of good. Great steering, great handling, great refinement, GREAT 2.0T engine, great interior, tons of cool features, great utility, and, so far, flawless reliability (knocking on wood now...). Not perfect, with brakes that can't handle a serious backroad pounding without fading and torque steer that occasionally annoys, but its overall goodness was enough to get me past its looks, which I didn't love.
I can't believe I am driving a modern VW, but there it is. And, three days into the experience, I was MUCH happier with the decision than I was three days into the WRX (a car I loved for its dynamics, but not much else). The GTI is BIG fun, but it's also a refined grownup's car when you're on the daily commute, heading on a long drive to LA, going out to dinner, etc. The interior is VERY nice, the heated, leather, pwer lumbar seats are better than those in test cars I drive costing many times more, the AM/FM/Satellite/6-disc CD changer in dash stereo is pretty darn good and better with the iPod adaptor with steering wheel controls, the steering wheel itself feels great in the hands, etc. Basically, a loaded GTI feels like an Audi A6 or A8 of just a few years ago on the freeway, and nearly as good as a Mini Cooper S JCW on back roads (but not quite as good...).
In the segment you're looking at, there are several good choices. You've got them nailed down, but I'd recommend at least getting a good test drive of a GTI in before making your decision.
Sorry for gushing! Just hope it's helpful info!
pete