I think the Mazda3 against Golf argument will, like many automotive comparisons, boil down to priorites and preferences.
I couldn't get over the road and wind noise of the Mazda3, because I do so much rural/autobahn driving. So darn loud, all the time, despite different tires. Lack of interior storage (no place to store CDs or warning vest), missing some detail features, cheap paint and glass quality, that irritating sloped hatch.....it added up. But if used as solely a suburban runabout, perhaps these flaws wouldn't be so pronounced.
Feel the Golf as a complete package is better polished.