Are we talking about cars in the same price range as the MS3? If we are, there really are no comparisons. The only car in the sub-$25k that comes close is the WRX TR, and that's from a dig. AWD is a beautiful thing, but that's about the only advantage the Rex has. From a street start and after 60 MPH, the MS3 has the advantage. That and the fact that the WRX is built on an aging platform --complete with a tacky, plasticky interior-- are reasons enough to go with the Mazda.
The other car to consider is the new GTI. The interior is comparable with the MS3 in quality, and some would say even nicer. It's also Automobile Magazine's Car of the Year. But the MS3 is faster and once you start adding options to it, the GTI skyrockets from it's base price. Don't forget VW's dubious reliability, too. I'm also not too fond of the exterior, either, but that's a matter of personal taste.
If were looking past $25k, the MS3 still has the nuts to hang with some big players, like the STi and the Evo (depending on the driver). Even some $30k+ rides from Bavaria would be wise to give pause if they line up with you.
Simply put, the MS3 is the best value out there right now. The performance numbers speak for themselves. The exterior is attractive. The interior is one of the best in its class. The usefulness and utility of a four-door hatch cannot be overlooked. And the price is right.
Obviously you're going to get biased opinions on this forum (like mine). If I were you, I'd go pick up the May issue of Car and Driver. The cover story is a comparo of the MS3, WRX TR, SE-R Spec V, GTI, and the Cooper S. It's a very good article, and will probably convince you.
-Jay (Just got word that his SSM Sport is on order...)
