I disagree with all the other posters who say if you buy a GTI you should accept the poor fuel economy and if you don't like it "stick it" (i.e. buy a diease-al)
I bought my GTI as a B-road blaster and it truly excels on country lanes and provides me with a tremendous amount of satisfaction. However, as mine is also used as a daily driver, it is also used on mundane trips up and down the motorway...
If fuel wasn't so extortionately priced we wouldn't see so many threads on here about it.
Re. the comparison with M3/M5 - I think it depends on what price bracket you are talking about. Generally speaking an E92 M3 owner is likely going to care less about his fuel bill than an E36 M3 owner (who may have a more conservative budget). Do cash rich owners of brand new M-cars create threads about fuel consumption? I would expect they don't...
I bought my 5dr MK5 GTI as it was a total all-rounder, perfect for ferrying my 2 year old daughter around in, great fun on country lanes, stinking performance for a small engine and the stunning looks. I don't regret it one bit as when the car is in its element its like nothing else! However, on those boring trips up and down the motorway I do confess to keeping a close eye on the MPG (as I see this as a 'waste' of V-Power!) .... I get around 35-38 MPG on a run where I make an effort to drive sensibly for what its worth.
Of course, I don't pay a blind bit of attention to the MPG when I'm blasting around in country lanes...
So in summary if you want to see less threads about MPG, complain to the government and get them to reduce the ludicrous amount of excise duty on fuel!!!