I used to have an 05 Mazda 3, and my best friend has an 05 Subaru 2.5RS. I know they're not the turbo'd vehicles, but I LOVE his RS. His car has such good control & overall stability that it just always feels planted.
On the flip side though, the Mazda3 is definitely more "refined". The interior is nice, the exterior looks nice, it will drive better off-the-lot, etc. It's more of a car that you simply buy to drive... not to modify.
Between the two choices above (mazdaspeed 3 & WRX), if you want a fun car to just play with and NOT modify, then I'd probably go for the 3. However if you're into the aftermarket world, nothing beats a good Subie.