Ive got one. I have had it to the track once and I have autocrossed it. I have not done many mods to it, I added some camber adjustable ball joints to the front end so I can get a little negative camber and I added a stiffer rear sway bar, and a new rear differential mount.
The comments about the rear end are on target. The differential mounts are what fails. I had it happen twice on my car before I purchased a beefy aftermarket replacement from turbine tech. The installation of this and the rear sway bar happened at the same time, and it was a bitch of a job. the stock routing of the sway bar routes it up and over the rear differential.
I have not had any trouble with the engine, though I have left it stock. I love the power and teh boooost. It seems to surprise quite a lot of people who don't know what the car is. If I weren't so lazy I would take off the mazdaspeed6 badging and replace it with mazda6 badging.
The car feels more at home on a track then on a autoX course. even with the sways and the camber it still tends to push a lot on the autoX course though it feels prety nice at track speeds.
You are at the mercy of the computer controlled center differential. Sometimes the diff would shift the power to where you wanted it and the car would feel great, other times it wouldn't and the car didn't feel great. I wish there was a way to get in there and reprogram the computer, I think it would really wake up the car.
The car also has traction and stability control. Which can be turned off with a single switch. The traction control is a real kill joy, and I don't understand why an AWD car would have it. The stability control is a bit more interesting, it has anti oversteer and anti-understeer circuits. I have felt the anti understeer circuit kick in a grand total of one time in my entire ownership experience. I was a cool feeling, again I wish I could get that reprogrammed to kick in more often and with less interference from the traction control.
Overall its been a pretty good car. Though its days in my garage are numbered. It cant beat my miata for the "fun to drive" factor (the speed6 would win if I lived in a place with fewer curvy roads). Its been serving as my wifes car for the last year. My wife gets about 24mpg in the car, being a lead foot I would average 20mpg.
1995 subaru impresa -- to be sold | 1996 Miata -- woot!