C30 for me
Funny, I just went through this exact purchase decision, and wanted to comment, despite the thread starters purchase of the F150 (good choice!)
Like any other purchase decision of this magnitude, it depends what you want and how you need.
Please note that all comments only apply to cars with manual transmissions, I will not own an automatic.
I first started looking at the WRX. It is a real enthusiast's car, but I've noted that Suburu owners tend to be fiercely loyal, buy multiple Suburus over time, and tend to instantly like the brand. I love it on paper, in practice, it was too "twitchy," and not as nice inside as I'd like. I may have loved this car if I were in my early 20s, but it is definitely a Suburu. If you love it, you won't want anything else, and it's a blast to drive, particularly if you're a real gear-head. It's also expensive the way I would have wanted it configured.
The MazdaSpeed3 is way fun to drive, and for the amount of fun it provides for the money, I think it's the bargain of the automotive world. If that's your top priority and you don't have the cash for the other models, you won't be disappointed. Again, for me, it was a little young...I have clients I need to drive occasionally, and that interior just doesn't cut it.
I love GTIs, my first car was a GTI, and I loved it when it worked. Unfortunately I had electrical problem after electrical problem...there was a short somewhere that they could never diagnose, and it kept frying alternators. I finally gave up when it broke down on me in the desert in the middle of nowhere...fortunately at night, and reluctantly bought an Acura. Now, this was eons ago, and I'd far more trust VWs now, but it does figure into this discussion. If you don't want to go the total enthusiast route of the WRX, of the three remaining cars, the GTI is hands-down the most fun to drive, very involving, lots of power when you need it, and fantastic handling that will get you out of most bad driving situations you might find yourself into with little effort on your part. If I was solely basing the purchase on the fun factor, it would be this car. However, stylistically, it's a VW Rabbit with a bit of flash and a grill badge, again, a bit too young for me. By the time I got in configured the way I wanted (Autobahn package/leather and better wheels, I HATE the stock wheels and the plaid seats), I was well over $31,000 MSRP.
Which leaves the R-Design Volvo C30. My first experience with this car was right when I started looking and was eying the Mazda and the GTI. I saw a C30 on the street in the new trademark Orange Flame Metallic, and my first thought was "Baby, where've you been all my life?" If you like the exterior styling, it's gorgeous. The interior was a bit spartan, but very nice, kind of like a very upscale rolling Ikea store. My friend told me it was really pricey, so I investigated, and the price configured the way I wanted it (preferred package/moonroof, no nav, no "climate package," I live in SoCal) was $50 more than the GTI. So I drove it. It's not quite up to the GTI in the fun-to-drive factor, but I'd say it's at least 90%. About 2/10 slower in the 0-60 (the automatic is WAY slower, and usually the stat in the reviews), but actually better on the skidpad, and marginally faster through the cones. It shows when you drive it, for what it is and the price, it's fast, with lots of torque and unlike the Mazda, only a hint of turbo lag. As it's FWD, there's a bit of torque and understeer, but nothing to turn you off completely unless you're a total RWD or AWD fanatic. The R-Design has a stiffer sports suspension and altered steering that make a big difference from the base model, and make it ALMOST as much fun as the GTI. However, the build is more solid, and very unusual...there aren't a lot of these sold, and they really stand out...particularly in that orange. Did I mention that it's gorgeous? Plus they're really dealing on this car right now, and they are offering the "Safe and Secure" package, which pays all maintenance through 60K miles/5 years...and you get Volvo safety on top of everything. The GTI would be more fun on road trips and on twisty drives in the canyons, but I think it would wear on me as an everyday commuter.
The other cars I checked out were a pre-owned 1 series BMW, but I decided I was paying too much for the name...although WAY fun...and I wanted a new car. Outfit the way I wanted was over $40K, and I don't have that kind of bank.
The other car I LOVED was the Hyundai Genesis Coupe. Before you turn your nose up, these cars are NOT your father's Hyundai, in fact, it was Motor Trend's Car of the Year last year. The 6 cylinder is FAST, 1-60 in just over 5 seconds, the car has a BIT of plastic in the cockpit, but really is pretty nice, it handles nicely, and it has an MSRP of only $25K. It's RWD, and just feels like a Korean Camaro or classic muscle car. It ended up being my second choice as a nice mix of fun and classy. If you're in the market, test drive one of these...you will be VERY surprised.
I ended up ordering the C30 in the orange, for me it was no brainer for what I need. However, your mileage will vary. If you're solely looking for performance, go for the WRX or the GTI, or even the Mazda for the money...or the Genesis. For a mix of world-class styling in a hugely fun-to-drive package, go for the C30. For me, it did everything very well, and was a more balanced choice. Now I just have to wait for delivery....