I drove all three in addition to the SKY Redline when I was shopping for my DD.
First off, the S2000 is a BLAST! I love the looks, the performance, everything. But I'm 6'3 and I didn't fit. It's too tiny and Miata-ish. I liked it, but my feminine side was not quite strong enough to buy it. Plus, the B-pillar blocked my stoplights and I wasn't up for neck pains every day.
The RX-8. Well, my mother always said that if I had nothing nice to say...
Ah, hell with her. It's a limp-wristed and ugly little monstrosity. It's a major setback from the RX-7 and doesn't even deserve to be in the same category. While it was fun around corners, there was nothing else redeeming about the thing.
The SKY Redline, not sure if they sell Saturns in Europe, was great. All the same plus points as the S2000 except that the build quality is not quite as good. Unfortunately, it was again too small for me. I felt like I was in a go cart. It is the best looking of those three, however.
But then there is the 350Z. Not only did it put the biggest smile on my face (which was my key reason for buying it), but the car is just plain beautiful. I'm not sure anything in the price range compares. It's muscular bulldog stance really contrasts with it's great curves. Plus, it felt like it performed better than the rest of them with the exception of the S2000 midget-car. The exhaust note was incredible as well.
If they decide to make an S2000 for men, I'd buy it. Fantastic car. I'd also buy a SKY if the build quality is improved But I'd still have to say the 350Z is more fun from what I experienced.