In that case, if I was after speed and didn't worry about reliability (i.e. I was only going to keep the car for 3 years before selling), then I would take the Megane. The Clio is too small for me. The Cooper S, is not really in the same league. The S is a great handling car, but not a very fast one. But, if I was keeping something long term for at least 5 years, I'd take the FN2R still.
The Subie WRX is a good buy, pity the look.
Of course, we are talking about new cars, if you didn't mind 2nd hand cars, $40,000 would get you a bloody fast 12 second Honda.
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