Si - Fun, decent mpg, but bland and boring. Great resale but nothing you would be excited to drive. If you just want a commuter with a lil pep in it's step, this would be excellent. If you want to mod or feel power then it's not so great.
GTI - Nice little cars but everyone I know who's had one has constantly complained about stuff breaking, roof lining sinking, etc...minor nusances. And given their cost I don't care for them.
MS3 - Very nice. FWD is good for snowy weather and they have tons of pep and are fun. Personally I can't stand their new (literally) facelift. But they're great cars as long as FWD is ok with you.
WRX - My MPGs are 21.x really no matter how I drive and I'm stage 2. To me that's pretty dang good. AWD is awesome for weather, the interior is sparse but decent. Comfort is just fine since the suspension is so soft. If you want "sporty" handling stock...the WRX isn't it. But with some sway bars or springs you'll be much better off.
So I would say WRX if you want usable power (the usable torque on these are fantastic) and any-condition drivability. If you want a nicer ride and interior then go MS3. But to me those cars are now so freaking ugly I can't even look at them without laughing. So I would go WRX > SI > MS3 > GTI. The cost of the GTI is completely unjustified given the quality and power of the car.