If you care about cornering performance at all, you'd want the M3. The S3 uses brakes to torque vector and does not have a proper LSD. The S3 and Golf R are understeering pigs with primitive Haldex AWD systems that drive like FWD cars. The handling is in a different world on a dry track with the M3.
Fifth Gear tested the Golf R vs the STI and the STI hands down wins. Faster and more fun to drive.
http://vidooly.com/video/1n5Xbyqne7c