I owned a 2008 Mazdaspeed 3 for 2 years. I traded it in last December for a 2010 WRX. My local dealer sells both Subies and Mazdas, and cut me a decent deal for a swap. I also had a tax incentive, and low miles (9K miles in 2 years) helped the trade. But my main motivation for the swap was the weather here in Iowa which made AWD more attractive to me. I loved my MS3 but hated how it drove in the snow and rain. Following is a comparison between the two based on my 2 years driving experience with the Mazda and 1 year with the WRX. I make this as unbiased and objectively as possible. No fanboyism .
Here I recognize I made a compromise when I switched to the WRX. The Mazda had a superior stereo, 6-speed, HVAC system, better seats, and even more room in the back seats. You get more features for the money with the Mazda. I did end up replacing my WRX's stock stereo for an aftermarket one.
Neither car is a benchmark here. The Mazda developed a good share of rattles, and my WRX is starting a few. The Mazda's suspension, however, even brand new, sounded hideously during super cold (<10 F) temperatures. Thankfully the Subie doesn't.
Now for the good part! Regardless of the Subaru's 2 hp lead (12 with the SPT exhaust), and about 1 second advantage in 0-60 magazine tests, the Mazda felt definitely more powerful to the "butt dyno". It pulled stronger and was more responsive. Of course, the Mazda had traction issues, which the WRX does not. Upgrading my WRX to stage 1 made it feel more or less as fast as my Mazda was on the roll.
The Mazda's power delivery seemed more "right now", whereas the Subaru's is smoother all around. I didn't notice turbo lag at all with the Mazda, and I do now with the WRX. However, the WRX keeps pulling harder at higher RPM's. I guess the Mazda's has a smaller turbo?
To my disappointment, launching the WRX was not at all easier than the Mazda, except on bad weather. Whereas skill was required to moderate wheelspin on the Mazda, skill is also required to avoid bogging down the WRX or frying something. And I feel that getting the WRX to do its fastest 0-60 times would affect the life of my transmission/clutch, whereas in the Mazda it would be less costly (just the life of the front tires).
The WRX's suspension feels significantly softer than the Mazda's. This is not a bad thing for me, as this is my daily driver. The WRX suspension seems perfectly tuned for sporty road driving, whereas the Mazda's is rough. However, on autocross events, the WRX dives and rolls a lot more, whereas the Mazda is more solidly planted.
Steering on the Mazda was superb. Almost BMW-like. Very responsive, although a little nervous at high speeds. The WRX is number and lighter. However, that doesn't mean that the WRX steering is worse. If there is anything bad about the MS3 is its wicked torque-steer. Torque steer not only happened at 1st gear; it showed its ugly face sometimes at 2nd or even 3rd gear. And while most of the time it was just a nuisance, sometimes it put me in dangerous situations, like once I torque steered in to the wrong lane on a left turn :/. That is certainly something I won't miss in my WRX!
The Mazda came equipped with bigger brakes for those bigger 18" wheels. Honestly, I haven't tested the brakes to the point where I can give a meaningful opinion. The Mazda's brakes produced a lot more brake dust, so I had to clean the wheels a lot more.
Trannies are different. The Mazda has a six speed, and the WRX a 5-speed. Because of the broader power delivery in the WRX, I can live with the 5 speed. The only compromise is that 80 mph cruises are buzzier on the WRX. Shifters behave differently also. The Mazda's is weighted and has a notchy "snick-snick" feel to it. The WRX's is more rubbery and with a more conventional feel. While the Mazda's feels so nice in the beginning, it is hard to shift fast. I find it easier to shift gears quickly with the WRX's. Clutch engagement on the Mazda feels more precise and has a hard to describe "geared" feeling that is very nice. The WRX, even after a year of driving, remains easy to bog down and sometimes even stall.
Exhaust/sound: My WRX came with the SPT exhaust from the factory. Even though, it is only slightly noisier than the MS3's stock exhaust. So I believe that the MS3 is a lot noisier than a stock WRX. Although the MS3 sound is boomy/sporty, it screams 4-banger. It is nothing like the intoxicatingly beautiful Subaru boxer sound. Subaru clearly wins here.
Gas mileage: I got slightly better gas mileage with the MS3 around my mostly suburban commute: 21 mpg vs. 20 for the WRX (19 @ Stage I). Both are premium-only cars.
There is a huge modding community associated with the WRX. Not so much with the Mazda. That was something that became appealing to me. Tuning of the direct-injected Mazda engine gave little gains, and forums were littered with issues like blown engines and falling motors. With my WRX, I am stage 1 and feel pretty safe, and will go for stage 2 next year.
Finally, I can tell you from experience I am getting more attention on the road (both positive and negative) with the WRX than I did with the Mazda. This is strange, given the Mazda was red and the WRX is blue?
In conclusion, I can see why the 08 MS3 beat the 09 WRX in a magazine comparo, but still the WRX is the best car for me and I am happy with my swap.