I was in this exact situation this summer. I was still in Sioux Falls at the time and test drove a bunch of cars.
The WRX I tested had the full SLP treatment from the factory...upgraded exhaust, short shifter, upgraded intake, firmed up suspension. They make about 285hp. Cost was about 2k more than a comparably equipped GTI.
It was fast. Much faster than a stock GTI. There was more pronounced turbo lag and the shifter was notchy (though very positive...I never missed a shift). From a roll, it was faster than the 2010 Mustang GT I test drove.
Interior wise, no comparison at all. The Subie's interior looks cheap. The dash looked great, but the doors....there's cheap plastic seams and all the material is hard to the touch. It's also a very noisy car inside. Lots of tire noise and lots of wind noise (from the sides, not the windshield. The doors are very poorly insulated).
I like AWD (my previous car was a 2007 Suzuki SX4...an absolute jem of a car that would be unstoppable if it were given a turbo. Get one if u need a practical commuter car that handles well and laughs at snow), but knowing I was moving to Arizona...it was less of an issue.
The GTI...well, it feels like you just bought an Audi. The interior is so nice....the exterior is classy. It's quiet inside, it seems to make more power the faster you go so the acceleration remains basically steady (probably because the torque curve is flat). It's not as all out fast, but unless you were racing in a straight line, I think it would likely beat a regular WRX. The WRX wasn't as firmly sprung or as well damped, and it definitely had lower steady state grip than the GTI. Both cars default to understeer when you exceed the limit.
I'm going to have to put some wider tires on my GTI once I get the APR tune because the car already roasts the front tires in first gear and sometimes even cuts them loose in second.....40 more horsepower will only make that worse. That wouldn't be a problem with the subie...all wheel drive is great for acceleration and it saves you money on tires too.
They're both great cars. Do you want a rally style race car disguised as a road car, with all the up and downsides a vehicle like that has? (cheaper interior, lots of noise, lower gas mileage, but fast as snot and responsive to suspension/tire upgrades) or do you want a car designed from the ground up to be extremely enjoyable on regular roads?
Given that the aftermarket is very healthy on both cars, and that you will see bigger gains for less money with the GTI (VW has undertuned the engine for insurance purposes), I think the GTI is more exciting. APR will give you 40+ horsepower for about $600. That'll put you within spitting distance of the WRX in terms of speed.
And the GTI just plain handles like a dream. With the Subie, I dealt with a little bump steer here and there, it was a bit more twitchy during cornering, and the transition to understeer was very abrupt. The GTI oozes down the road, impossible to upset, and responds exactly how you want it to unless you push it past what it can do, and then it gently goes into understeer. And honestly...with the summer tires, the GTI can corner harder than the Subie.
There's one downside to the GTI that I have to mention, which the subaru does not suffer from because of it's rally racing roots. The GTI simulates a limited slip differential. It doesn't have a real one. It uses a computer to monitor wheel slippage in the front tires and individually applies small amounts of brake pressure to the wheel that starts wildly spinning. A mechanical limited slip redistributes the power to the other wheel without using the brake to control the spinning. This is different than stability control, which individually brakes the wheels to keep the car going straight. This only deals with keeping the inside wheel from spinning wildly in a tight corner under power.
Essentially, because the GTI uses the brake to control the spinnage of that inside wheel, if you drive your GTI hard for any length of time, especially around corners, you will start to notice brake fade, as the brakes are being heated up when you corner. If it had a mechanical limited slip differential, this would not happen...and the Subie has a mechanical limited slip.
If you plan on tracking your GTI, you're going to need to find a way to disable that computer program and then install a mechanical limited slip. The GTI's brakes will overheat during track use unless you do this. You're also going to want to replace the brakes with some good Brembo or Bride units. Of course, this is really only applicable if you do the occasional track day. You will not notice this at all under normal use, unless you consistently drive like a suicidal maniac on public roads.