I would go with the Evo. It is a lot more fun to drive if you are into performance. The Evo rotates like a top with telepathic steering and a rear end that wants to kick out and play when you have the traction control off.
Named "Best Handling Car under $40K":
Named Most Involved Sports Sedan: (beating out the BMW M3)
But the STI is more comfortable if you do drive it on a daily basis. Performance just won't match unless you modify the car.
It really depends on what you are looking for in a car. If you must have 4 doors, then you should get a 4 door car. I will say the M3 is a lot more comfortable than either STI or Evo though.