Hi guys. Let me chip in. To set the scene, 2 of my last 3 cars have been Bimmer diesels. I had a 2012 320D (new) and a 2013 330D (new), before a stint in a 2014 Z4 (new) and now I'm in my GTI (also new). Prior to that I flirted with Audis, but they're not in the mix. So a qualified opinion. Though still just an opinion.
I'm one of those people who are never really happy, or perhaps I just need to earn more and have 10 or so cars in the garage to suit my mood. And this equation, limiting factors (such as BiK restrictions and corporate policy) aside, is what it's all about: what do you want out of your car?
To try and draw parallels is really difficult. However...
My 320d was a convertible, manual, and the engine sounded like a plastic bucket full of spanners if you put your foot down with the roof in the boot. It was packed with goodies, looked the nuts, comfortable as you like, but was horrible to drive. MPGs aplenty, if that's your bag. But no fun. At all.
The 330 was a different beast. I realised that all the great reviews the 3 Series get are based around the saloon version. It went like hot snot and was even more comfortable than the 320. Probably due to being Luxury rather than M Sport, so different suspension and seats. Didn't have as much tech though. And wasn't really that engaging a drive in my opinion. Sure, it was quick - certainly faster than my current GTI, and really put a smile on your face when taking off from the lights - but it just didn't feel like a car you could, or perhaps should, throw around. Probably needed the M Sport suspension to complete the package. 10 cars, remember.
I'll pay lip service to the Z4 for completion. An absolute blast over a 20 mile run. Super quick (28i) and grippy (255s on the back). Automatic though, and with a definite lag in the auto box unless you stuck it into Sport mode first. But if you're going to go through that faff every time you want to overtake, might as well get a manual. And too small inside. Left me crippled after driving on the motorway for a few hours.
And a universal feature of all my BMs, absolutely hopeless if there's snow. Even a light powder dusting of it. They got twitchy if there was snow on the TV. Fat tyres and RWD - nightmare.
So now, OP, to your dilemma. I've had my GTI a month, so still early in our relationship. There's a smidge under 1000 miles on the clock, which are a good mix of motorway, town and country roads. But I've not begun speccing up my next car yet, so hopefully this might be the one. At least to get me past the 12 month mark. Fingers crossed.
So, speed-wise it's not as quick as the 330 or the Z4. The gearbox is a manual, so can't draw a parallel, but I wanted the driving engagement and I've never really got on with paddles. The manual shifts on the GTI are nice and short and engage well. Refinement wise, the 330 nicks it. As a motorway mile muncher, again the 330 probably just edges it. Just. Probably. Well, possibly. The Adaptive Cruise on the Golf makes the overall motorway experience less hassle, but the seats in the 330 were like old armchairs. Lovely. On a country road, with the sun shining, the Z4 every time. Ear to ear grins all the way.
In the technology stakes (engines and gearboxes not included as those points are a whole other debate) the GTI is packed with stuff that is only an option on the BMWs. ACC, touchscreen media, folding, dipping wing mirrors, SatNav that displays speed signs, speed limiting rather than just audible warnings, pairing of 2 simultaneous phones (nice when you have a personal and a work one like me). Heated seats and keyless entry. All marvellous stuff. Included as standard (well, keyless has changed now I think to an option).
Before going for my GTI I looked at a 428i with similar options and it was about £38k. Discounted down to around £31/32k if I recall correctly.
Plus the GTI
feels like it wants to be thrown into and out of corners. Rather than just being employed to do it well. As a drivers car, not on a track that most of us will hardly, if ever, get to use, it's comfortably ahead imo. It is, after all, a hot hatch rather than a mid-size executive saloon.
MPG-wise (yawn), the diesels always win. My Z4 got around 28-29 over the year I had it, and my GTI is currently returning 36-37. Both the 3 series were north of 40.
The BMWs do feel more grown up I suppose. And they probably have a more grown up image - you can read the posts on here about mid-life crises (I'm 46, so the Z4 was mine. Or my bike

). But who cares? If it's something you want to enjoy driving in a multitude of situations, or perhaps just throw on the ACC and let it drive itself, I'd take the GTI. Maybe the GTD if the MPGs are
that important and you don't mind losing a second (which is MASSIVE

by the way) off the 0-60.
So it really does come down to what do you want out of your car?
And that, is my opinion.
Good luck...