You should look at importing. There are so many fun small cars in Europe, it's a shame that only the Golf is available.
The Polo GTI for example is much closer to the original Golf GTI, than the current piece of lard. The Seat (Leon (Ibiza FR/Cupra) and Skoda (Fabia VRS) versions also are great little cars. then there's the Seat version of the Golf, which is at the least prettier, and also somewhat more affordable, at least over here.
The Abarth 500 (C) and Abarth Punto Evo are fun little runabouts.
The Renault Sport Twingo, Clio and Megane are pretty much the trifecta of hot hatchery.
Myself, I got a Suzuki Swift Sport, which was a great deal, for a fun little car, that's still fast enough to be illegal as soon as you wind up third gear. It compares well to a Mini Cooper, only being slightly more of a true hatchback, thus higher seating and bigger boot.
Finally, there's the Citroen DS3 racing, which is probably not available new anymore, but also a fun car, and a bit of a looker.
Now, clearly those will be somewhat harder to source, and to service, but I felt a bit sad about this thread, with there being so many fun cars available and only the two most boring being in the running here.
The (already mentioned) ST Fords and GM VXR/OPC Corsa and Astra are of course also options for fun little cars with reasonable price tags.