It depends on who you ask. Although these two vehicles may appear similar on paper, the short answer is that the Golf R falls short of the WRX on many statistical levels but is still very appealing for many drivers, myself included.
Volkswagen never claimed that the Golf R was going to be in direct comparison with the WRX, but many Volkswagen owners and/or enthusiasts such as myself secretly hoped that it would be.
To put some numbers down, the Golf R is outputting 256 horsepower, wheres the WRX is pushing 265. Both have all wheel drive and a six-speed manual gearbox and a turbo-charged four-cylinder engine. The Golf, however, weighs approximately 100 pounds more than the WRX which isn't a huge deal for most people. I could go on about stats, but I'd like to touch on other aspects.
When comparing these cars, it is important to note the types of drivers who will be purchasing each. I don't like generalizing, but Subaru drivers generally tend to be younger, have an interest in rallying, and enjoy having a flashy car with a "wham-bam-thank-you-ma'am" boxer engine. They seem to enjoy invoking envy in other drivers, which I would too if I had a WRX. The types of drivers who are likely to purchase a Golf R will enjoy the ownership of a "sleeper". They enjoy the finer European details that have been incorporated into the interior and exterior of the Golf R, which is based off the GTI. The notoriety of this car is far less than the WRX. They probably won't be purchasing this car to show off, and probably don't want people gawking at their car anyway. Because it's a sleeper, people will be surprised when it launches off the line or hauls ass in the snow.
Personally, the aspect of a sleeper has always been very appealing to me. I almost bought an old Ford Taurus SHO for this exact reason. If given the opportunity, assuming that cost is irrelevant (even though the Golf R is cheaper) I would purchase a Golf R in a heartbeat upon it's release. Don't get me wrong, I find Subaru's turbo-charged boxer engine to be orgasmic when I hear one driving by, but it's too "show-offy" for me as a daily driver, especially because my taste is very European. If I was looking for a weekend car only, then the WRX would be more appealing.