Not an easy choice
I had an 08 Impreza 2.5i Premium Sedan that I bought last Fall and traded-in for the Speed 3 a few months ago. After hearing and reading about the '09 WRX I decided to visit my friendly Subaru salesperson from last year and see if they had one I could test drive. Sure enough, they had one, so drive it I did.
Here are my thoughts coming away from it:
1) WRX advantages: AWD, smoother ride, quieter when just cruising (in fact at idle it's hard to tell it's running), 5-speed (1st in the MS3 is too low, and the overall spacing is too tight), no power limiting in 1st & 2nd gears, lays down the power better in lowest gears, Faster from a standing start, optional sunroof.
2) MS3 advantages: Seats are much, much better (both comfort and support), Overall interior is better (it's hard to tell from pictures, but obvious when sitting in it), Steering feel is better, Overall better looking, Faster once you're moving, $3k less for same options.
So, which to get?
Assuming I didn't already have the Speed 3, it would not be a slam dunk.
Since I live in the Pacific Northwest where we get rain (and some snow) 6 months out of the year, I would probably shell out the extra dough and go with WRX. But I know that once the weather got nice, I would be missing the sweet Speed 3 seats and interior, and the extra $3k that used to be in my bank account.
However, since I've already made the investment in the Speed 3 just a few months ago, there's no way I could logically justify making that move right now. So luckily I'm not stuck having to make that decision.
Hope that helps.