I recently tried different potential fun and practical daily drivers (used 2004 to 2007 models) including some of the above mentioned one, here's my summary:
WRX (2007) and mazdaspeed 3, thought the speed 3 was more fun and responsive (less lag) and handled better (in stock form) but the wrx AWD power delivery felt better than the FWD (which I'm biased against). THe wrx would need better springs shock and then should handle appropriate to its well designed chassis.
Also test drove legacy GT (2006) and mazdaspeed 6. Liked both quite a bit but was not happy with gas mileage on legacy GT. Also thought the speed 6 handles better, at least with stock suspension.
Comparing the speed 3 and 6, the 3 is a little quicker and spunkier (weight related) and the 6 is more refined, subtle, better chassis feel, suspension with AWD vs FWD which is why I preferred it. If you don't mind FWD I would definitely go test drive the speed 3.
Comparing the legacy GT and WRX, I preferred the GT, all the fun but nicer interior, quieter and less of a police magnet. The wrx has advantage of greater availability and cheaper.
ALso tried 2004 BMW 330i, liked it, did everything well as expected, nice balance but also less exciting. At the end of the day, I'm a turbo junkie.
Also considered the Audi, but the reliability seems to be hit and miss. Many people like them but I know of enough who were unhappy with reliability).
I ended up buying the speed 6 about 3 months ago and absolutely love it. Only thing I did not like was the power drop off after 5500 rpm (from electronic throttle programming from factory, the ecu starts closing the throttle past 5500 rpm even when pedal is to the floor) which I remedied with a COBB re-flash, making the car much faster (much more power at high rpm, not much difference in peak power). Same applies to the speed 3.