You're going to get a biased answer mostly here, but you knew that..
Anyway. After nearly 6 months of mk5 GTI ownership, here's what I like:
Easily 35mpg+ on a long steady run.
Very receptive to a remap.
Lots of tuning options, of a good quality, and good mappers on the scene.
Refined, comfortable and practical when you need it. Lots of optional extras and toys, which many of us here retrofit.
A proper hot hatch when you need it. Car of the year 2004 I think, loads of awards, and gave Clarkson a boner. Really nicely balanced quick car in standard spec - and really easy to add more and more power if (when) you get the bug. Edition 30 GTIs come with a slightly larger turbo and map to around 300bhp straight off the bat. Of course you can fit that turbo to a normal GTI, and a whole host of other goodies, to chase power. Loads of cars on here run 350+ reliably.
Looks good, not ott, but has an unmistakable place on the road - the GTI means GTI so much more than the poor mk4.
It does everything. Everything except what a true big bhp rwd sports car can do.
I'd go on about the cheap interiors, pathetic torque, chavvy image and so on, of the other contenders you mentioned, but I don't need to.