I second positive experience with VW DSG in my GTI. It's smooth and always in the right gear in normal driving conditions and beyond. No complaints at all and will chose it again over a conventional AT.
I like Mazda's too and I had a first gen Mazda3 which I liked very much, but for the current generation, I would go with the Golf too. For me, the whole car feels better all around with a vast advantage on rear passenger and cargo space and versatility. This is not to say Mazda3 is not a great car, but my personal preference for the current iteration is the Golf. If VW continues to cheapen out the Golf this may change..... but again, I don't quite like the new Mazda3 C-pillar so....