First, hello to everybody. My first post here, and I'm in a similar situation as the OP.
I've been looking for a new car after finally deciding that my '86 Rx-7 turbo is no longer for me. My options have come down to a MS3 or a '09 WRX, just like the OP.
I've now test driven both, and I'm leaning towards the MS3 (good thing, eh?). These are what I liked/disliked about both.
Exterior: I actually like the looks of the WRX better. HOWEVER, I think Subaru's QC on paint is serious lacking. The whole car was orange peel. I think there was also a defect in the paint on the passenger door, as I could see a large concentration of "metal flecks" in about 2sq in area when the sun hit it right. It was enough for me to put the check in the Mazda column.
Interior: WRX. I liked the layout better. I also prefer the large center tach, ala RX-7.
Engine: MS3. Sure HP is about the same. 99% of people, however, really don't understand what horsepower means, and how similar numbers can be so different. Look at the torque of both cars. the MS3 has 280 ft-lb of torque at 3000 rpm. I don't know what the suby is, but it's not as low in the band. The WRX is gutless under 4-5k. Coming from a rotary, I'm used to the lack of torque, but the WRX almost had me screaming "you gotta be kidding" when I applied a little gas around 3k. If you are looking for a drag/track/auto-x car, you may have a different opinion. I'm looking for a daily driver and everyday car that is fun to drive. All that torque makes it REAL fun to drive.
Drivetrain: WRX. AWD is great. But I'm biased. Every car/truck I've had has been RWD. It's going to take me a long time to get used to FWD and 'torque steer' of the MS3. Feels soooooo weird....
Price: MS3. Dealers are having trouble getting rid of the '08 WRX, due to the subdued-ness of that model. You can get a good deal on them, but you have to settle for a less of a car. The '09s are hard to get them to budge. You may be able to get a unsold '08 MS3 at a good price a lot easier. Plus it's a couple of grand cheaper to begin with. However, getting insurance quotes, the subaru was $300 every 6 months, the MS3 was $650 for some reason. About $700 a year difference.
Plus, Mazdas are cool. One of the few car manufacturers that design cars on what the engineers say, instead of marketers and accountants. Hope this helps. I plan on heading to my Mazda dealer tomorrow and seeing what they can do for me. The only MS3-GT they have is in metro grey. It's gotta be either black or white. Hopefully soon I'll be posting pics of my new car!