I am a bit biased towards the 128i, but definitely buy it with the sport package and manual transmission. It really is fun (and most of the ones listed will be too) because you can really push it and not be doing anything too crazy. In the 135i, you get into crazy territory rather quickly.
I autocrossed mine and it did quite well, often times beating 135's (of course the driver plays a large role). All I had was better tires. Here a few picture from a local BMW-CCA driving skills school... also fun.
I will agree that it could use more torque, and if it had the 3.0si engine, it would really be exceptional.
My brother has an 07 GTi and has really enjoyed it. I would consider getting a GTi if I wanted a hatchback.
The Golf R will probably be a great car too, so if you can wait it out, it may be the perfect option.