When I was buying my car it was between the Mazda 3 SP25 and the Lancer VRX.
My Uncle has the Mazda SP25 (hatch) and I (obviously) ended up with the Lancer VRX.
Well to be perfectly honest, the Mazda is a "better" car. Before I go into details I'll make this statement: If you want to modify your car, go for the lancer. If not, go for the Mazda. Why?
The finish of the interior is better, a little bit less plastic than the Lancer.
I test drove both and have been driving mine and been a passenger in the 3 very frequently and the Mazda is quicker from the factory.
The paint on the Lancer is horrible and I already have chips in it from city driving, I haven't seen any on my uncle's car (and he does lots of driving and not just in the city).
Mazda has 6mth service intervals at around $250 a service, Lancer is 1 yr interval at $195.
Lancer has 18" wheels, Mazda has 17".
The Mazda sits lower from the factory, so if you just upgrade to 18" it will
look perfect.
Some people hate the "smiley" face of the Mazda, but I actually think it suits the car and looks pretty good. The Lancer is better though (we will come back to this).
The body kit of the Mazda is more complete than the Lancer. The SP25 comes standard with dual exhaust (which I love) and the front has those two "air vent" things on the side that look very sporty. The lancer VRX looks like it has an aftermarket kit from the factory, so better for modding, but not for a sleek, finished look. The Lancer tail lights (sedan only!) are brilliant, but the Mazda ones are LED and a bit flashier.
If you get the Mazda you can opt for leather seats and a bose sound system for $2500. When I got my car this really put me off, but now that I have modded my lancer I realise how little that is and it should not deter you, it is worth it because the bose sounds awesome
Ok, so why the hell did I buy the Lancer?
I wanted and Evo and couldn't afford it
But seriously, my brain (and my parents

) told me to buy the Mazda 3 SP25 because it was the better car, but my heart just wanted that aggressive look of the Lancer. I also didn't want the same car as my uncle, I like having unique things.
I still look at Mazda's as they go past and think about what could have been, and sometimes I feel stupid for not getting one, keeping it stock (except for wheels) and not having to worry about warranty issues with mods etc. But then I see my car, and I forget all about that. There is just something about the car that makes it awesome, maybe it is the EVO heritage, or maybe it is that it is modded into "my" car, who knows...
So if you bothered reading all that (sorry for the rant

) then you will see that it is a very personal choice and sometimes what looks better on paper isn't in real life.
I also agree with what someone said above that you should look at the Golf (but only GTI or R

)