^ sage advice, ace. although a little ironic, considering the recent-ish Ford-Mazda partnership and your comment on old fords
The good news is that, depending on where you live and what you've done (and haven't done) in your first couple years of driving, insurance rates can be reasonable on sports cars. Even if I were to buy an '01 Corvette, my insurance is only ~$130/mo. and I'm still in my lower 20's. The 1991 MR2 (n/a) I just sold was only ~ $50 a month.
My MP3 has all the moves of a sports car, and is certainly fast enough to get me a speeding ticket. After test driving a RX-8 and VW R32 recently, i actually looked forward to jumping back into the MP3... it's certainly the "slowest" accelerating of the 3, but it is rewarding as a complete package of balanced acceleration, terrific handling, and reasonable comfort. Much like BMW's M3, I presume... however, it takes the triad of speed, handling, and luxury to the next couple powers

Anyway, insurance on the Mazda is less than $100/mo. and I've even got low deductibles in case some punk tries to vandalize, wreck, or steal it.
I think Mazda Proteges -- and after owning a MkIV Golf (02), Honda Prelude (98), Chevrolet Malibu (97), Nissan Pickup (95), and Nissan 200SX (96) -- make a great first car. But you have to be one who's into four cylinder, four door, japanese "economy" cars ... a dyed in the wool Camaro or Mustang fan will never be satisfied with anything that has fewer than 8 cylinders or more than 30mpg

heh ... j/k