Hmm - a good £10-15k more expensive, but it buys you exclusivity.
BTW, I'm not fanboi'ing here, just trying to give balance. You're asking about VAG vs BMW on a VAG biased forum, it's only ever going one way. The reverse would be true on a BMW forum.
The Golf R is a good car, drive both, see which you like. It's your money at the end of the day.