In making my next car purchase decision, I test drove both the R and GTI multiple times, back-to-back. There is zero doubt in my mind that the R is the faster car in pretty much any situation... especially in the hands of a driver of only "average" skill. It is so good, I never came close to feeling like I was approaching its limits during my test drives.
That said, I definitely felt the extra weight of the R when attacking curves and turns along the back roads. Mind you, that extra weight didn't slow the car down (it maintains so much grip it's ridiculous) but somehow it made things a little less visceral/enjoyable than doing the same thing at the same speed in the GTI. I've commented on this in previous posts, but the suspension in the R felt a touch more floaty than the GTI.
The GTI felt more lively but also planted during hard cornering overall and on the street I'd argue it's the more fun car to throw around... at least it was for me. I kept coming to the same conclusion after driving each one back-to-back... the R is the more impressive machine, but the GTI is more fun to drive in normal road conditions.
On the track, I'd imagine it's a different story, but on the road, the R is so grippy and capable that you'd have to travel at license-losing speeds to replicate the same level of fun that you can have in the GTI at half the speed.
Just my two cents though, and better, more experienced drivers who own the R will likely disagree.
All that said, both cars are incredible and you can't go wrong owning either.
My personal recommendation is that the R is the obvious choice if you plan to track the car on a regular basis. If you're looking for something fun to drive day-to-day on the streets, I'd say go with the GTI.