I used to have an R34, check with Just Car Insurance the R34 is much cheaper to insure than the s15, aus delivered or import. I don't know about other companies.
In terms of the vs, I remeber Ben Ellis had this discussion in an issue of High Performance Imports when he was deciding on a new car. He chose the R34 due to stronger gearbox, stronger diff, better brakes. Diff and gearbox important as he was drag racing the car. But if it's just for street use all you can do is drive both and buy the one you like better.
Personally I prefer the R34, I do like the styling of the s15 I just find it a little small for my liking.