My opinion.... The GTI is the nicest car in your list, but the lowest performance. The MS3 is very well designed inside, but I think the way the car "smiles" at you on the outside is ridiculous. The WRX is more fun than the other 2, but the interior is not very well done - you will notice rattles and cheap parts. The WRX also has worse gas mileage (AWD).
Where I live, AWD is a must - so I didn't really consider the other 2 when I bought my first WRX. At the time, I looked at a VW R32, Audi A4, and the Trailblazer SS. For me, the WRX wasn't the best of any of them at all things, but it was really good at just about everything. Since then, I have upgraded to the STI - I didn't even look at any other manufactures as I just really liked how Subaru built cars.
Well, it was a short relationship with you people. I enjoyed all you had to say, and valued most those who encouraged me to look around, and find the right car for me, like MJ, and those on other threads.
I got a MS3. Granted the seats have an awful print, but it's really no worse than the GTI's, which the critics love. And the rest of the interior I find non-objectionable, and a little nicer than the WRX's. As for the grill, I can't see it when I'm driving, and my personal grin is even bigger!
I did like the WRX's drive and how quiet it was. I did not care much for the supple ride, I actually wanted something that felt a little firmer, and turns in tighter. So all-in-all, thte Mazda turned out to be the car for me, but I do believe the WRX is a great car, just not the right car for me.