Just to add my tuppence, having owned 1 x MKIV R32, 3 x MKV Golfs - R32 DSG, Stage 2 DSG GTi, and Stage 2 ED30 DSG, and a Stage 2 8P S3, I feel I am in a stronger position than most to pass comment. The MKV Golf is by far the better drive, loads more feedback than the Audi, and much more involving. The Audi is very clinical, does the job very well and disguises its speed exceedingly well.
In standard from the S3 will savage all the other cars, and by some margin, add stage 2 to all cars (not including the R's ) and a damp road, and the S3 will still leave the competition, however, on a dry road, it is the ED30 all day long.
The R's are fantastic all rounders, although a little breathless at the top end, have fantastic chassis's, albeit a bit nose heavy, and best of all make an awesome noise, probably the best of all cars I have ever owned, especially when mated to a Milltek, obviously bar my 'old' B7RS4 with added Milltek. The trouble with the R's when compared with the others is they are very juicy, highest group on tax, and a standard Ed30 will keep up with it, and in most situations be more nimble and faster, bar the standard british weather of wet cold road, but as said before, map it and its a different matter. Also after 20K miles the R32 really loosens up. If they did the R32 with 300BHP standard it would be an awesome car, that would really befit its price tag, noise, costs etc, but thay are just so expensive to get more BHP out of the standard, compared to a turbo's lump.
I owned the cars in the following order; (this is in the space of 3 years!)
MKVI R32
MKV GTI
MKV R32
335D (don't ask!!!)
8PS3
RS4
MKV ED30
After selling the RS4 I wanted a cheaper sorted hatchback to give me everything I wanted - cheaper running, invloving drive etc, and I could have purchased anything as insurance isn't a concern, and having cover 10k+ miles in each of all of the above cars, my one and only choice was another GTi, and moreso the ED30, as I loved the tunability of the S3 engine and the chassis of the Golf. The only thing I miss is the 4wd, but I find it makes the ED30 more involving, and as its stage 2 brutally fast (faster then the RS4), and exceptionally good fun.
The R32/S3/GTi argument will go on and on, but you pays your money and make your choices, and each has it own benefits!
Enjoy
Im still waiting for the 4wd R20............which for me will be the perfect car!