Had the mk1 04 - new dsg gearbox at 60k cost me £4k, whilst it was having the gearbox fixed - at the garge for 12 weeks wating for parts, i bought the Z4M as a replacement. Loved the TT so kept it for a winter car, stood for a few months, in the snow we had earlier in the year thought i would use it. That cost me £3k - the ignition coil caught fire and then a valve got stuck and had to have an engine rebuild.
Cost me £7k for 5000 miles. Was still running like a bag of nails after the fix. Traded it in for a landrover discovery 3 a month ago, (cannot get the 350 or the M out of the estate in icy weather so have to have a sensible car

)could not bear to look at it after all that heartache and cost, i had a really bad one, but the TT forums are full of major problem threads. So if you buy one, make sure you have a warranty at all times. Also make sure it is not your only car. Parts can take forever, the dsg electronics have to be coded to your car and that can only be done in germany.
In saying all that it is a nice car to drive. Not tried the new version, but take a guess it is slightly better than my old one. When it was running it was great to drive, the 4wd meant you could sling it around and a lot less scary than the M.
To say it is not a true sportscar is a bit unfair mine could hold its own on twisty roads against both the M and our 350Z, on 0 -60 on a wet road it beat the M, on a dry road though it was left standing. It is a completely different drive , if you pushed a z the in the same way you can push the TT 4wd round corners you would be visiting A&E. I miss the the ability to really go for it on tight corners, hence the reason i learnt to control a car in a drift as i nearly put the M in the ditch a few times when i first had it.
MPG was around 30mpg (i drove it to its full potential) and believe the new version is the same if not better - far better than an M, but probably in line with the 3ltr. I like the interior of the audi better than the BMW, unless you upgrade the interior with the BMW , but that is a personal choice.
Personally i would choose the M and maybe the 3 the over the 3.2 dsg, but definetly not the SLK (unless it was the AMG) owned one of those as well before the TT, to tame for my taste these days. They are all really different and it really depends on your driving preferences to which is the best. Also it depends if you are going roadster or coupe - the Z4 is the best looking coupe by far, roadster then i do not think there is that much in it looks wise.
If i can ever get over the nightmare of owning a audi (also had the old audi quattro coupe years ago and that caught fire and cost a fortune) i would go for the TTS quattro, (test drove one of those and they are a real step up from my old 04 3.2) but not sure what the 2nd hand prices are like in comparison think they hold their value better than the 3.2. I quite fancy the 350z roadster, you can easily mod these and end up with an amazing car.
Go test drive one at a few dealers, personally i think test drives should a least be an hour especially when you are changing to something dramatically different to your current drive.