I have an '05 R53 JCW and have noticed the same thing. I thought it might have been a traction thing, because it's most noticeable when turning at an intersection and accelerating out of it. I can overcome it by dropping down a gear and keeping the revs up, but it would be nice to have a more linear response.
I have noticed some other problems with the engine under load when it is hot too (loss of power), so I am now contemplating either trading it in for something newer (like the new Focus RS due out next year [Gasp - Sacrilege]!!), or having lots of fun and spending much less, and spending money on a significant performance upgrade project.
Anyway, in short, I have noticed a similar power problem with my Mini, but have no real good ideas as to why.