I have had the good fortune to drive both.
In stop/start London traffic, the GTI was so much easier to drive smoothly with much more torque at low revs Plus, its bigger boot, fun chassis which made it feel fleet of foot, better looks (IMO), wonderful Jacara cloth seats and much better fuel economy (I hate visiting petrol stations especially in the winter) clinched it for me.
Then when I drove them back to back in near Arctic conditions, the R held sway.
However, by this time I owned a GTI and as such freezing conditions are not the norm in London, I was again pretty satisfied I had made the right decision.
Both are excellent cars which are different. However, for me at least, the difference is weighted more favourably towards the GTI.