We just went through this process and picked the A4. I would have ranked it:
1. Audi A4
2. BMW 328i
3. MB C300
In all fairness, we didn't test drive the MB, but the exterior and interior design are dated and the interior is very plasticky and that was a deal-breaker.
Our first german sports sedan was (and still is) an E46 328i, so we wholly expected to end up with another one... not so fast.
First off, the BMW is quite a bit more expensive. It's hard to compare apples-to-apples because of what each manufacturer includes in their option packages, but it you want everything except the top-shelf stuff, the Audi is a few $k less.
Second, am I the only one that doesn't like the new BMW front end? The headlights aren't supposed to merge into the kidney grill, it's a BMW kidney grill... they stand on their own! And the way the nose drops off at the grill isn't working for me either.
Third, the interior is way too busy. Interiors are supposed to get better from one generation to the next, but the best 3-series interior was the E46. The E90 interior went too simplistic and looked sparse w/o iDrive and when iDrive was optioned, it looked like an afterthought. The F30 has gone too far the other way and there's too many materials and too many levels going on. We much preferred the A4 interior (especially on the S-Line which is what we got), nice materials, beautiful button action, cupholders where they should be, cool flat-bottom steering wheel, etc.
I know looks are subjective, but that and the price were the deciding factors for us. Dynamically, they're very close, with the BMW having the edge in engine power and handling. I've always felt that Audi's have traditionally had overboosted steering, so getting the Drive Select was critical so that I could set up the steering with some feel. I wasn't fond of the BMW's start/stop feature either, so that would end being turned off and essentially useless.
As they say, you just gotta go out there and drive them (and look at them and sit in them in the showroom and not just once, but a few times) and make your decision from there. I bleed BMW blue and white so I'm as surprised as anyone else that we ended up with the A4, however the next car might just be an E92 M3