I currently have the Golf and did have a 125d before that (same car as the M135i but obviously not the engine etc) both 5 doors. The BMW was more comfortable for the driver simply down to the fantastic seats. However, I did always find the BMW cabin a little claustrophobic with a narrow footwell and it always felt the door was right at my shoulder (i'm 6ft, quite broad shouldered).
Golf certainly does seem bigger from all seats, particularly the rear. The boot on the golf is actually pretty small due to all the haldex nonsense sat under the rear end. The BMW does have a more awkward opening but i'd say it's about the same size if not a little bigger. It's shape does make it awkward for bikes though (you will need seats down). The golf comes with a ski hatch as standard so that's pretty handy. Both cars take roof bars without issue.
I'd imagine the S3 and RS3 are pretty much the same as the golf in terms of practicality. I test drove an A45 and felt it was the smallest of the lot. Small boot due to 4WD, not much rear leg room due to big bucket seats and I actually hit my head on the roof above the front door a few times. It felt like a 3/4 size model of a real car inside.