Little late to the game here Ovr, but it seems like you've compiled a good list. Of YOUR list, I would look at the Miata and the mini. THey certainly meet fun to drive and are both decent highway drivers as well. Good city drivers too. Not sure about good grocery getters. Don't know how biog the trucks are on both vehicles, but I would imagine that they aren't THAT big.
And here's my suggestion, and you knew it was coming. Volvo S40. I know you think it's TOO practical, but could you explain why? Another downside to the S40 is the when optioned out the way you like it, the price jumps quickly. However, whether you look at the base 2.4 or the T5, both meet the fun to drive factor since they both have good torque, decent interior room (back seat is a tad cramped but it doesn't really matter since it's just the two of you, no?), and attractive styling.
Another suggestion I wanna throw at you is perhaps a slightly used RX8? It's got fun to drive, good responsive handling, 4 seats, and a usable trunk.
Let's see... a used 3 series is an obvious choice as Driver suggested.
Mazdaspeed 6 would be fun to look at when they come out.
I know you said no DC products, but Benz doens't really count, does it? I was thinking a C-class coupe... I don't even know if they're still for sale for 06, but a used would can be had at decent prices, I've seen.
I'm sure I can think of more, but that's all I got for now.