between the sti and evo, the evo is the only one you should go with. STI's are the cars people buy when they want a sports car but have no clue what makes a good car or how to drive. STI's understeer like crazy, have a pretty dull steering feel, and really arent that great in snow compared to other AWD cars.
the EVO is a much better balanced car, has much better feel, will destroy an STI in the snow and pretty much any environment. only thing i dont like is the active yaw control they use after a certain year, i think 05.. so try to get an 04. dont worry about getting an MR. ive heard mixed thoughts about wether its better than a normal evo or not. and dont lower it.
s2000's are awesome. dont be one of those douche bags who calls cars like s2000's and miatas or mx5's chick cars. they will outperform basically any non "chick" car in the same price range. the s2000's engine is amazing, it just keeps revving and has an awesome power band. it also handles amazingly well, is super well balanced, but the only thing is ive heard that they have a problem where when the suspension compresses enough the rear alignment changes and can make the car suddenly loose control, its cheap to fix, but just thought id add that.
350z's are awesome too. basically a hard top s2000. ive only ridden in one so cant really comment on what its like driving it.
and just dont even consider an s4, they are legit cars, but extremely unreliable and expensive as shit to fix.
if your looking for something german, like you should ;) look at an e46 m3 or m coupe. both are awesome, i personally love the m coupe. i know you said newer than 2000, but if your looking at an m3, the e30 and e36 m3's are much better cars, and cheaper. ive driven all 3, and the e30 and e36 are sooo much better than the e46.
the e46 is still a better car IMO than an sti s2k or 350z.
and just some personal advice, dont let a turbo be a deciding factor, turbo lag/bad powerband sucks ass, i know it sounds super cool and showy, but for actual performance NA is the best.
another car to consider is a newer mx5, i know you probably think its a "chick car" but go drive one and you will realize its a much better DRIVERS car than any car ive mentioned except for the e30 and e36 m3. and pretty damn quick, faster than its numbers would have you think.
if i had 20k to spend it would be between an mx5, and a real nice e30 m3.