hey,
on my 2003 it sounded normal at first then after approx 4k miles the next day after it was really really cold one night the sound changed.
you could hear it spool, but it sounded more like a siren as it spooled up.
i took it to the first dealer, who tried to bs with me and told me how it pulls even harder than the other mazdaspeeds when they were driving it.
i drove the car another 4 months and got fed up with the noise. i took it to another dealer (luckilly no mods yet) and asked them for a new one.
they said something was wrong with the turbo and replaced it with a brand new one (tubo, that is).
anyways, you may want to take it in and check it out as it could lead to more serious problems in the future.
just fyi