I just did a ton of test drives in this price range, but I'm new to cars. I'd get a Consumer Reports subscription, as they acutally criticize cars. (Edmunds and other sites are always vaguely positive.)
The A3's interior is minimalist bordering on ugly. It has leather, heated seats standard. The braking felt overly sensitive. The A4 is another option, but it it only comes in a continuously variable transmission in that price range, without leather, and the braking felt mushy. I wanted to love the A3, but I didn't.
The Cadillac ATS was very great. I tried both the standard engine (2.5L) and a 2.0L Turbo that was VERY fun. The very smooth ride may not be sporty enough for you, but the Turbo engine might be better. This car feels luxurious, even in the base trim; this was my favorite interior. Consumer Reports says the reliability is 84% below average, though.
The Consumer Reports review of the CLA was scathing so I didn't even bother driving it. ("Rather than a comfortable, quiet, and sporty rear-wheel-drive sedan, the CLA is a cramped, noisy, front-wheel-drive compact with a stiff ride, impaired visibility, and exceptionally difficult access. It also lacks the handling finesse and refinement we expect at this price.") The same goes for the Lexus IS ("But, alas, the IS 250 isn't very sporty, fun to drive, or luxurious. Add in a cramped interior and mediocre fuel economy, and it's clear that the Lexus isn't close to competing with BMW.").
Here's other things I test drove:
Acura TLX: After reading many review that the ILX is a souped-up, overpriced Civic, I test drove the TLX. It was just not impressive, and also felt like an overpriced Civic. Steering felt really clunky - I swear a 90-degree turn in a parking lot required a full wheel rotation. I crossed it off my list. Consumer Reports says these cars "don't have what it takes to make it in the big leagues." You can get a better A3 for the same price.
Infiniti Q50 (this starts around 37k, but has great standard features): It has a 6-cylinder engine that's LOUD. I did like the interior, but I'm having a hard time justifying the price tag. I didn't get to take it on the highway, but that would probably be fun. The reliability according to Consumer Reports is 127% below average, though.
BMW 3-series: I like this one. It's a more sporty ride, but not painfully so. The handling is AMAZING - I glanced down at the spedometer and panicked momentarily when I realized how fast I was going on a clover leaf because I literally couldn't tell by feel. (The salesperson said I could have taken it at 70 instead of 50 and still been fine.) This car (specifically the 328, I drove the 320 since I'm not going to push it enough to justify the better engine) is recommended by Consumer Reports.
Lincoln MKZ: Technically I haven't drive a 2016 yet, but I drove a Ford Fusion, which uses the same EcoBoost engine. The engine was boring. The Fusion has a lot of luxury features of the MKZ without the 40k price tag. (The Lincoln lot near me only has the top-tier interior...and hybrids.) My parents have a 2008 MKZ that feels very unwieldy and unresponsive, but they've slimmed the car down since then. My biggest complaint is the massive console between the driver and passenger seat in the 2016. I'd look at inventories online before going to the lots to make sure the prices are ok, but Consumer Reports does recommend these cars.
My personal opinion: get the MKZ/ATS for luxurious interior and smooth rides, or the 3-series/A3 for a sportier experience. The ATS with the 2.0L Turbo is a good compromise (read up on Turbo lag, though). I will probably buy either a 3-series or an ATS, but I might give the A3 one more chance to impress me with something other than the price tag.