I'm not really a fan of the tan interior in the S2k but I guess it's not so bad if you're set on having a white car. I'd go with plain black or maybe black/red. Power as you probably know is a good bit more than the 240 hp rating.
I don't like the Z, it's not really that heavy but it drives like it's heavier than it is. Part of this has to do with the really slow steering gear ratio.
Btw I would also look at the RX-8, the power isn't very impressive but its chassis is awesome. Plus it only gets up to the S2k's price completely fully loaded with a bunch of stuff you can't get in either the S2k or Z. Stuff like heated seats, 6-disc in dash changer, moonroof (well, that's only not in the Z). The interior is also really, really nice especially with the leather.
You could swing a nicely-equipped BMW 325Ci in that price range but if you go overboard with the options the price can top $40k.
I haven't driven the EVO or STi but they ain't exactly gonna be stealthy from ricers or Johnny Law.