If I were you I'd go with the Speed. I've had mine since early feb and have loved every minute of it. All of the cars you mentioned are nice cars and have their benefits, but none offer the complete package the Speed does. I haven't had the "clunk" problem some people mention, and I very rarely get any sort of lag when hitting the gas. I think that was just getting used to the Speed's clutch. I now slip the clutch a little in first gear and drop it hard in second. There's nothing like hearing those tires chirp when you drop into second and begin pulling away from the guy beside you. The ONLY thing about the Speed I'm not too fond of is tire road noise over 65MPH. However, I can turn the stereo up if I want, and am planning on Dynamatting my car's interior anyway which should eliminate the problem altogether.
The WRX was my #2 choice, but nobody likes the look of that car stock. When you factor in some good looking rims and a decent stereo system your adding on another $2,000 to a car that already cost about $5G more than the Speed. If you have the extra money around I'd probably go with this, but it wasn't worth the price for me.
I thought about the Neon, but I wanted a more complete package. The neon has the power, but it's handling was not a crisp as the Speed's and I feel allot more confident taking high speed turns in my car. Plus the SRT-4 had a real low quality interior, nice seats but that's about it. I heard it doesn't even have power windows in the back (I didn't check this myself). And while I think the exterior of the SRT-4 is ok, I don't look at it and think "that looks really tight" Every time the sunlight hits the spicy orange paint on my speed, I do.
The RSX is a nice car, but to me it's always seemed a little girly. And they are EVERYWHERE. Plus it's not exceptional in any category. A few years ago the Integra Type R was the car to beat, now the RSX type S doesn't have outstanding performance numbers when compared to these other cars you're looking at. I've raced Type Ss here about 3-4 times and only once did I come close to losing. The rest of the time there was a clear margin of victory. Granted these were probably stock Type Ss but then again my MazdaSpeed is stock too. I don't think the RSX will give you the instant advantage the WRX or SRT-4 does, it depends a lot more on the driver's capabilities.
As for the benefits of the Speed, it's the only one that gets you a complete package.
It has great sport compact looks, especially in the 2003 Orange. I've liked all the pics of the Titanium too, but haven't seen one in person.
It comes with a great sound system. The MP3 player is great, and being able to go from carrying 130 cd disc in my car to only 15 or so MP3 disc makes finding the right CD a lot easier. And I pulled out the 8" sub and put in 2 12"s and now it totally rocks, and my subs are low quality.
Beautiful rims. I get compliments on them all the time. The only car of this bunch that has stock wheels you won't want to immediately replace.
FUN TO DRIVE!! The Speed has handling that will put a grin on your face every time you get in. You won't be able to tell on a dealer test drive, but if you know anyone who has one, ask them to take you for a real ride. You will be amazed at the grip and stability the Speed offers with the Limited Slip Differential. And it is fast too, not fast enough to take on an SRT-4 or WRX in a straight line 0-60 or 1/4 mile, but in a real road race with any kind of turns it more than holds it's own.
Exclusivity. I've only seen two other Mazda Speed's here in Dallas and they were at the Mazda Rev It Up driving school last month. I've yet to see one on the road. And in Canada (that's where you're from right?) they are even scarcer. You're guaranteed to have something 99% of your countrymen don't.
All together it really depends on what you're looking for.
If you have the money and like the look of the WRX go with that.
If you want a quick fix, the ability to go really fast in a straight line, don't car too much about the interior or comfort and you plan on replacing the car in the next 2-3 years then go with the SRT-4.
I can't think of a good enough reason to get the RSX
If you want a complete package, that offers great performance and interior refinement, plus is show car ready as is and show car winning ready with very little investment I'd go with the Speed.