Both look quite bland but if its an all round performer you want, the GTI with the DSG transmission is the pick. They now have the 3 doors available as well which are cheaper and made in Germany (5 dr made in South Africa) if that means anything to you.
If keeping past the warrenty period, the Mazda would be the sensible pick. The VW's are great cars but don't have a reputation for the reliability the Japanese manufacturers boast about.
Me though, I'd go the VW. Purely because i feel they're better looking, nicer interior and they're made by the company which invented the hot hatch.