I think I can help here. I just traded in my 2001 GTI 1.8T for my MSP. And my sister has a 2002 RSX -S, so I'm familiar with all 3 cars.
I loved my GTI, it was small, but had lots of room inside for people and stuff if I needed it. The suspension was soft (and the 2001 came with 15" wheels YUCK) So the wheels and suspension were what I changed first. Put some nice 17's on, some H&R Sport Springs, Bilstein Sport Shocks, and larger rear sway bar, car handled pretty close to my MSP, and wasn't too uncomfortable. The 1.8T is what I was most sad to see go. It's awesome, nothing else I can say. The 2.8L VR6 is another beautiful engine. But it's main drawback is weight. It's not light, and makes the GTI VR6 very nose heavy. That reason, and cost, were probably why it's not in the 337. The 337 is nice, but the only thing on it that you can't do aftermarket is the 6 speed. I still autocross with the Chicago Volkswagen Organization, and the 337's tear it up every time, at least until I learn how to drive...I got rid of my GTI because of reliability problems. After window regulator and coil-pack failures I decided it was time to go back to my rice-burner roots.
As for the RSX, I have never driven a sweeter stick-shift. The car fits you more like a glove, everything is for the driver. It's not a sedan, it's not a wagon, it's small little car for you. I'm not a big fan of 4 cylinders (unless they are turbo'd) because of their lack of low-end power, but the RSX does OK. It really makes you grin as you approach 8000 RPM however!!! The suspension is definitely better than the GTI in stock form, but not as tight as the MSP. The interior of the RSX is very nice, easy to use and easy to read. The MSP is nice, but can't compare with the interior. The VW has a nice interior also, but the RSX is still nicer.
I really like the MSP, it's been 4 months now, and here are my 2 complaints. The engine isn't nearly as refined as the RSX or 1.8T. It's noisy, rough, and does suffer from the occasional bout of hiccups that have been mentioned around here. The front seats suck for autocrossing. They look cool, but don't hold you in place very well. Okay, one more complaint, I really wish Mazda hadn't cheaped out on the extras. I travel a lot and cruise control would be nice, I can't see that being such a high cost item that they had to cut it. I miss my old GTI's sunroof as well... So far I love solid build of the car, and cannot get over it's handling. Oh yeah, one last thing, it's ORANGE!!!!