Hi , I am in the same boat in that I am considering an R32 or the new S3.
I would like to order a new car now but the lack of S3 demonstrators is spoiling my plans.
The R32 goes well from the numerous test drives I have had. I prefer manual as you are in total control. The sound is excellent. I think the car is let down by the interior which is cheaper looking than the existing Mk 4 GTI 1.8T that I own. The seat bolsters can wear if you are not careful getting in and out. The silver grill is easily marked by flying stones but can be replaced fairly cheaply.
On the other hand the A3 interior is much more upmarket but I did not find the seats in the 3.2 S line that I drove very supportive. Reviews comparing the R32 and the A3 3.2 make the golf the winner every time.
You will do well to get a discount off an R32, the best I could manage was £500

whereas people have talked about 8 - 9% on the A3 models. There will be no discount on the new S3 to begin with.
So in conclusion, if the interior of the R32 had been a little better I would have ordered months ago. On the other hand most people don't seem to mind this I am just fussy.
If I ordered an R32 tomorrow it would arrive for Jan/Feb 2007 which is when the first S3s will be delivered.
PeterT.