I'm going to vouch for the Mazda. I have worked as a VW salesman and had that Golf (1.4 122PS) as a company car and I've test driven that particular Mazda (Sportnav by the sounds of the alloys) for some 50 miles.
The Golf very much does as you'd expect. Everything is straightforward and as a result I found it to be quite a dull car. The only aspect of the Golf I preferred over the Mazda was the fact that it is more well insulated from road noise.
Why would I have the Mazda? It's considerably better looking (subjective). People complain about the lack of power but there really is none, it's just the power delivery is linear so you do have to rev more but that's not a negative. People are too used to turbo lumps. Over 8 years I's much rather run a NA engine over a VW turbo (they're not as reliable as people, more importantly VWs marketing team, will have you bealieve) - getting 120PS from a 2.0 means very low stress on the parts. It is much more fun the drive and has a nice, sporty driving position. I presume you're looking at the Sportnav vs the VW's SE? In which case there is no comparison in kit levels. I also preferred the Mazda's interior, it is fairly simple and has a more Audi feel than older Mazdas. The Golf's is, in my eyes, very dull. Fuel economy should be the same unless you go for autos which I saw mentioned - don't do that, the Mazda has a sweet gearbox, a nice short shift. Stacked up against the Mazda I feel the Golf is poor value for money.
If you have any questions re: the both just shout.