OK OK, this might sound daft amongst talk of beemers and audis, but if you don't want to spend that much, test drive an Astra 1.9 CDTi SRi. Its just a vauxhall, yes, but its dam good fun and it has its own little sport button.
I agree it's quite fast, but having had one as a courtesy car, then driving my Mk4 1.8T (petrol) golf GTI, both had 150 bhp, but the golf's an easy winner both from handling and acceleration. It's also surprisingly more comfortable. Not that that adds anything to which hot diseasle you should get, but I'd say the Astra would only be one for the very cash-strapped. Add to that a worrying smell of clutch every time you had to manoeuvre it on a hill…