Yeah, I get two kinds of clicking from the engine:
1) quiet, consistent rhythmic clicking that's always there regardless of temperature -- this is the fuel injectors and is completely normal
2) periodic rhythmic clicking for only a few seconds on a cold start, usually on acceleration -- only had this happen once or twice, and not at all after my most recent oil change (which was at 5k, car has 9k on it now, and my first oil change was at 2.5k)
I don't think either is a problem. Usually when engine clicking noises are bad, they're consistent and get progressively louder/nastier sounding. Mazda's been making the MZR ZY motor for several years now so if there were any problems with the design, they'd have ironed them out by now.