I've owned or driven most of the cars on your list.
It depends on what you want, where you drive and your priorities.
Of those mentioned:
The VW will be the most fun and maneuverable in urban settings, and the thriftiest. Great commuter car. It is not my first choice for long trips. Anything over 2-3 hours, and the seats feel stiff. VWs are hit-or-miss for repair/maintenance. If you get a bad one, it can nickle and dime you to death. The new VW diesel is a better engine, IMO.
The S60 is a great all-rounder, and in higher-pressure turbo form the fastest of those mentioned. From a pedestrian model, you can move up all the way to an R, in varying degrees of sportiness. It also has terrific seats for outstanding long trip comfort. Very nice, typical European sport sedan. More refined overall than the VW or Saab, but a notch below the first-tier Germans. Not a roomy back seat. Consider it a four-door two-seater. Not as tactile to drive around a curve as a 3-series, but more comfortable overall IMO. Best value in this group. You shouldn't get bit by one unless it was abused.
The 850 is a little long in the tooth, and will need more ongoing maintenance. Volvos aren't cheap to keep if they need repairs, so find a good indy mechanic. If looking, look for a '96 or '97 and shop around hard for a straight one. It is not as nimble or as quick as the S60, but is roomier and the best cross-country ride of the group. Again, terrific seats. Volvo makes the best OEM seats in the biz, period. Most comfortable riding car of all those mentioned. A good running one is like a favorite pair of slippers - not built for intense sports, but you'll feel real good just trotting around (everyday driving). Reminds me of a tighter-feeling Peugeot 505.
Both of the above use Volvo's white block five-cylinder, which is a proven, bulletproof engine with a distinctive note. With all the turbos, the mileage goes way down. An R can average under 20 mpg.
I think there are better choices than the V40. Nuff said.
I think the Merc is overpriced for what you get at that price point. It'll impress your friends. Nice car all around, well assembled, but I'd look for a comparable-level BMW first if it must be a first-tier German. Neither are cheap cars to own.
The Saab is an interesting vehicle. It's as fun as the entry turbo Volvos, nice balanced handling, more sporty/youthful on the surface, but has it's own quirkiness at times. Somewhere between the VW and the S60 on the fun to drive/refinement scale. I'm not as friendly towards them as Volvos. I think GM did more harm than Ford did good. If a T5 or R is involved, I take them first. If I were 20 years younger, I'd give the Saab a longer look.
Hope that helps.