oddly enough these were the three cars I was looking at last year...well, close. I was looking at the Mazdaspeed3 (new/newish), WRX (08/09), and 330i (a couple years old).
MS3: Performance was great, we had previously had a regular 3 ('04) and it had zero problems in 3 years. Downside: word on the forums was that the MS3 enging/turbo tune doen'st like cold weather (I work at a ski shop). Also if you're over 5'10, expect your right knee to get sore banging the center console. Also no sunroof option. No AWD wasn't a killer, but for skiing AWD is always a plus.
BMW: Honestly, I love damn near everything about the car. But for someone who wants to drive INTO the snowstorm to ski, a RWD won't do it. And yes, I know they're fine for regular snow driving, but not for serious winter weather in mountain roads. Also the fact that I could only afford one that was 3-5 years old with pretty much no warranty was a downside.
I chose the 09 WRX. Why? AWD is great...dry, rain, or snow. You can drive it like a RWD car to some extent or like a FWD car,d epending on your style. Why else? Had the performance of the MS3 for a similar price, but had a sunroof and AWD....and no knee banging. Also had winter package (heated cloth seats, wiper de-icers, mirror de-icers), which the MS3 did not offer and which I used on many occasions last winter.
The WRX has its flaws....interior of doors and dash feel a bit cheap, some rattles, but the performance is great and I go places in the snow (with Wintersport M3s) that 4x4s are slipping around in :) Its been strong in STU autocross even with nothing but sways and 225 RE01R's...not a world-beater but it hangs close to most of the moderately-modded STis and Evos with wider rubber. With some camber and 245 rubber I think it would be quite competitive.
Otherwise, i jsut thing it's fun. I have the sedan, too, so it looks low-key (every civic won't try to race you, cops don't notice you)...
Consider an 08 WRX as well...they go for dirt cheap new still at dealers (the 09s killed 08 sales), and they are stiffer springs/sways away from being great cars. The smaller turbo gives quicker boost than the larger ones on the 09s too, for autocross, etc.