the MSP is a great and fun car to drive as long as you don't beat the hell out of it. It is a great handling car and that is what it was meant for. This car will shine on some curves and will impress you when it comes to Autocross.
As far as the engine goes: the rods are thin compared to forged replacements. You are right about things going bad and getting expensive very quickly. Do not get boost happy with these cars. Some will say not to go over 10 psi on stock internals. Some will say not to even touch the boost without EMS first. Every car is a different beast and with it being 2010 now, there is no telling how the previous owner treated the car. Bottom line for the engine: leave the boost alone until you tune for it. Or just rebuild with forged internals to begin with. Tuning should be the first thing if you are still using the stock ECU. You will see why when you try going into boost in the mid to upper RPM range. This will take care of that:
http://www.protegegarage.com/product_info.php?cPath=32_165&products_id=866 IIRC, there has been an issue with the oil system on our cars especially during turns under load. But, I don't think that will be an issue until you start increasing the boost and it also depends on how you drive the car.
As for the transmission, the gearset is ok until you start to get near the 300hp mark, then you will start grenading gears unless you go with a PAR gearset. Usually 3rd or 5th gear is what goes out, and you can get the GTX 3rd and 5th gears from here:
http://www.protegegarage.com/product_info.php?cPath=32_402&products_id=1051 Now for the most important part, the LSD in these cars are known to crap out over a period of time after some spirited driving, launches, ricer burnouts, or just turning a corner or making a U-turn. There is no telling when it will go out. Just to be on the safe side, I would check to see if the LSD in that car is already welded, if not, get it welded or just buy a welded replacement from the website above.( or get a Mfactory lsd). You will know when it goes out if you try to drive and the car does not move in any gear. A lot of people automatically think it's the clutch when 9 times out of 10, it is the case that snapped.
For the suspension, over time you may develop "the clunk" when going over bumps or uneven pavement. It gets annoying over time and others just deal with it. There is a kit by AXR (i believe thats the name) that fixes the clunk. Also, your car may start to squeak over time, you can just lubricate the bushings or take it to a dealer and have them do under warranty.
Just some added info, if your car still has stock motor mounts, you can look into getting stronger mounts like AWR mounts..
http://www.protegegarage.com/index.php?cPath=32_407 If you do get the MSP, just check to see if your mounts are ripped or starting to rip because they tend to go bad, especially the rear mount. Another thing, the exhuast manifold bolts tend to get loose and/or will actually break creating an exhaust leak. Sometimes the manifold itself will even crack. Just look out for it. Also, the wastegate actuator on the turbo tends to go bad over time. You can get an ATP replacement for around $60. One more thing to look for, if your car starts to seep oil around the valve cover, check to see if the bolts on the valve cover are tight. I know mine came loose before and so have other members. If not, you can get a valve cover gasket for around 20-30 bucks. Lastly, the vacuum lines on these cars get brittle over time due to the heat in the engine bay, when they get brittle, they will start to develop vacuum leaks. If you have the stock SMIC, check and make sure the clamps are tight to prevent them from blowing off under boost. I could go on and on with things to look for with these cars but this should cover some of the big things. I will try to find the thread that talks about common issues and TSBs for you. Good luck and if you do get the car, welcome to the Mazda family and forums...zoom zoom(hopefully no boom)
*edit: here is the thread I was talking about:
http://www.mazdas247.com/forum/showthread.php?t=50549