I've owned both the WRX and the Mitsubishi Lancer Evolution. The WRX is a great balance between comfort and performance, particularly for the price. For 1/2 the price of an Audi S4, you have similar performance, though obviously not similar luxury or cachet. The Mitsubishi is by far the most aggressively sporty of the group you mentioned, but it may be too much for you to want to deal with daily. For instance, it has great interior space and trunk space, but the car is loud and the ride is stiff, there isn't even a cruise control. I like it, but it makes no excuses for what it is, a sports car. If you don't take your car to the racetrack, you're missing out on the Evo experience.
For 2006, the WRX got many improvements over the older models. 17 inch wheels, much bigger brakes, a new torquier engine, and different styling are the big changes. You can even get leather and a sunroof now, which wasn't available before. It's still a light, sporty car, but easier to live with than the evo. It also has luxuries like auto climate control and a cd changer that you can't get with the evo.
The GTI VR6 is an old model and has been superseded by the GTI 2.0 FSI. That car is nice too, but I wouldn't pay that much for a front wheel drive car. The Audi S4 is good but expensive and heavy. The older 2000-2001.5 S4 is a nice car but can be expensive to maintain since many previous owners abused the twin turbo engine. The BMW is what it is, a great car but not the best for everyone all the time. Test drive them all and see what you like.
*I drive an Evo now and love it. But I don't think it's for everyone.
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