I think it's all about the demographic as well... if I was in my mid to late 20's, I'd want the STI, it has the cool tech, the "look at me" styling, etc. But in my mid 40's, I like the understated look of the Golf R, I appreciate the subtlety, the smoother ride, etc.
On paper, I understand that this can be sort of an apples to apples comparison (though it would have been closer to apples to apples if the VW was a manual equipped car), but I don't see it... the cars attract 2 distinctively different buyers in my opinion. It's not like a Mustang vs. Camaro, or Civic vs. Corolla. I don't think the STI really has a true competitor now that the EVO is gone. The VW's closest competitor would be the Focus ST, though it's lacking the AWD.
Anyways, my 2 cents! Both are great cars, for different folks