the Audi 1.8T is underpowered. a nice car, pleasant ride, but slow off the line and generally weak (not the case for the 3.0, but then again, no wonder since it is a 6 instead of 4).
the BMW is nice, but it is gonna cost more than the initial price if you want anything in there, and they cost over time to maintain (Audis are actually relatively decent over time - they are no Honda or Toyota in terms of long lasting and cheap parts, but then again, you aren't getting one of those

)
(also, you are getting the weaker one - you just paying for the name -and if it is a brand new one - the steering is looser and more like a American car in feel than the usual tightness and feel of the road that European cars are known for)
as for Mercedes - I wouldn't go near them ever since they have merged with Chrysler - they are constantly fighting in the engineering dept as to whether they go with the high performance and style of the German engineering, or the cheap ass shit they pull with American cars (although the cheaper decisions help the car be easier and cheaper to maintain due to shared platforms and stock parts).
Anyway, my answer is I'd get a Saab 9-3SE for less money and more performance than any of them

(incidentally, Saab is part of GM now and they have the same issues as Mercedes - the difference being there is no fighting, they are owned by them, but they give the engineers more free reign and also absorb some of the new ideas - like their new eingine that is coming out in a few years)