I have an 08 WRX that I picked up about 10 days ago. I've already put about 1400 miles on it. I love it, tons of fun and handles great on the street. I'm on HKS coilovers and 17x8 RPF1's with some 235 all seasons iirc and an OS tune from AWDTuning so i'm at 250 wtq and 200whp.
I had an 05 GTI in the past (about 5 years ago) and it doesn't hold a candle to the WRX. My roommate used to have an 08 GTI which was a blast (APR 93 octane tune, AST Coilovers, RS3's) but I decided to get the rex over one of these after driving the one I bought around town and for the AWD and way better traction control.
I mention the Traction Control because i've found the WRX actually works really well with the traction on, the GTI does not. My MKIV GTI had way too many electrical issues for a brand new car and i'm glad it's gone.
The si isn't in the same group as far as i'm concerned, but is a nice car if that is what you like. I prefer the WRX to the MS3 (even though I haven't driven one) based on the styling and awd. The WRX handles weather like it thinks mother nature is joking (coming from mid-engine rwd cars with no electronic nannies other than ABS). I started laughing during a recent downpour we had in DFW area when I exited the freeway and felt the left side of the car start to hydroplane, the car didn't even wiggle, just took it and kept going.