I also had an E46 330i sport before the Golf, loved the way it looked, great interior but dynamically not as good as the Gti. Other cars I've had are:
Nova 1.2 - my first car and loved it !
Clio 1.2 (original type) - even better!
Polo 1.4 - can I have the Clio back?
Golf mk4 1.6 - as above
Alfa 147 selespeed - nice styling, great interior, dissapointing to drive. Quick steering + soggy suspension = crap!
BMW330i sport - getting there but handling a slight let down.
Golf Gti mk5 DSG- Best car yet for handling and performance, love the DSG. A few rattles though and interior average.