Yeah I actually don't know how bad the depreciation on the Golf R's would be. The older GTI's are holding their value relatively well right now- the MkV's are holding their value somewhat well right now, so the MkVI wouldn't be much different. They're both somewhat reliable German cars for the price.
Audi's are a different ball game. Get past the warranty period and they're hopeless on reliability, and SO expensive to maintain. A friend of mine had an older A6 and spent $2000 for a clutch change. All Audi's are nice, but they're a maintenance nightmare later on.