I did the same research a little while ago and settled on the M235, absolutely love it, sadly it just doesn't get driven anywhere near as much as it deserves
Lost days reading through loads of good articles and watching youtube videos including comparisons of the two (appreciate the M235 is now the M240), don't think there's a wrong answer! Obviously there's the S3/RS3 to consider as well
Personally I really like the fact the M235/240 appears much rarer than either the R or the M135/140. Many of the articles compare it fondly to the E46 M3 (which was always the car I aspired to)
I was overtaken by an R making swift progress on a country road the other week, must say that exhaust noise is superb
For what it's worth, in the year and <5,000 miles I've owned it both the exhaust back box and the iDrive have had to be replaced!