The MP5 is a cool little wagon. But, it's slow and readily shows the econobox nature of it's ways. It's got a cult following that has really kept the resales value artificially high. You really can't get what I would consider reasonable prices on them for low miles. Plus a majority of them are going to well abused.
The Mazda3 hatch (which I owned, see the pic) was a HUGE leap in quality over the Protege. Everything from the ground up made it a vastly superior vehicle. If you can afford a used 3 hatch, go that route.