Neil, I came to a GTI from an Impreza '05 STi, and an Impreza 2000. I was concerned that I'd miss 4WD. To be honest, I do, a bit. But my biggest fear, torque steer just doesn't happen in the GTI. The ESP is useful but you have to learn throttle control again. I was used to just hoofing it and letting the 4WD sort it out. Now I can light up the front on a wet road in 3rd if I'm giving it the beans on an overtake. You just get used to it, and it isn't inhibiting at all. The problem was that to get the 4WD I'd need an R32, and the driving character doesn't suit me at all. Personally I find the GTI is better, I like the character of a blown engine rather than a big V.
Economy varies widely dependent on fuel, driving style, etc. Over the last 18months my average economy is 30mpg over 19000 miles (that's 375 per tank approx). I'm saving a heap of cash over a 22mpg Scooby. DSG is a bit marmite, it took me about a year to become fully comfortable with it. My advice is to test drive back to back. I did with an R32 & a GTI and I made my choice!
In the snow, with winter tyres the GTI is brilliant. I had no issues, never got stuck and had a hoot. GTI + Vredestein Wintrac =