Tough call.
Mazda 3: A little more interesting styling, more agressive. A little more horsepower, probably several hundred pounds lighter. Probably better handling.
Golf: Handsome styling, more attractive to those "getting on in years". Less horsepower, probably softer sprung, but at least it finally has a real rear suspension. Heavy, but more luxurious, probably safer.
It's a tough call.
I think they're two different cars, appealing to two different markets.
3 is for 20-30 years olds looking for an exciting economy car.
Golf is for 30+ years olds looking for a small, yet luxurious small car that is fun to drive.