The S4 was on my list, although it was the B6/B7 generation (4.2L V8). Frankly, I would not even touch the bi-turbos. The reliability was disastrous!
What pulled me away from the S4 was the portliness (weighs as much as a small yacht ), horrendous gas mileage, and reliability/maintenance/parts cost. They do have a nice interior and a sweet engine. However, it's just not the type of car I'm looking for. It's a luxury sedan with hints of sports car. I must admit that I did drool over them!
I've driven the 2008 STI and honestly did not like it. The power delivery is fun but everything else is just, bleh. Although, when my fiancee and I were looking for a car we did check out a 2006 WRX wagon. I really liked that car for what it is. It's very versatile, yet fun. I enjoyed it more than the STI, actually! You're right about the mpg though.
I really like the S2k. I've never had a problem with their prices and would much prefer one to the Miata, which feels anemic compared to the Honda. It will get 30mpg if I drive it like I drive my Accord, which gets 31-33 mpg. I think that Honda's engineers did a fantastic job with it and I don't feel the need to modify anything. I like it the way it is!
I've always been very wary of other people's projects, even when completed and road-tested. My rule has always been that if I'm going to spend a lot of money on a car, it will not be modified, or very minimally so. If I feel the need, I'll do the modifications myself. I prefer to start with stock, and in the case of the S2k, M Coupe, and probably Z06, I don't think they need a thing!
I do really appreciate the advice and thinking outside the box. It's much better to have all your eyes and minds on this, instead of me obsessively blabbering to my fiancee until her ears bleed.