I bought my new P5 last week. Some comments for those thinking of buying one -
Note the Consumer Reports review was comparing some larger vehicles - wasn't the RAV4 in the mix? Anyway, their emphasis was different. It is like reading CR for hotels. If it doesn't have 1500 sq ft and a heated pool, it rates lower. Their preferences may not be yours.
CR did say that the suspension was stiff, and they're right. Give them credit for calling it like it is. If you are in a town with really lousy roads, it may bother you. The upside is terrific handling. Every time I bend the car into a turn I appreciate how great the handling is. Motor Trend talks about the P5's "extremely well-engineered suspension package", and they're not kidding.
Other comments: highway ride is very good. The engine drones on a bit at 75 mph. At times I don't notice it, and probably wouldn't when using the stereo. Exterior look is distinctive, which is great. Interior is nicely done - detail work that you wouldn't expect at this price (lighted ignition key spot in my car; map lights that work; etc). Headroom: I'm 6'2", and with the moonroof I still have tons of headroom.
Car and Driver said the car was a sports car in station-wagon clothes. They're pretty discriminating reviewers. I neglected their opinion once before (bought a Civic), and regretted it. My usual rule is to find a car that CR likes (for reliability) but which C&D also likes (for driving impressions).
I believe C&D also complained about engine vibration - perhaps at idle. I have no idea what that is about, because my new (mid-cycle refresh, or "2002.5") car is very quiet at idle. No problem. Feels more expensive.
Highway wind noise is there; I could probably remove it by removing the cross bars. I'm still debating. It isn't troubling, but after a sustained run at 85 mph I may feel differently. I hear removing the rack (crossbars, or whole thing) is quite easy.
Matrix etc: CR liked it, but C&D really didn't. Particularly in 180 hp trim, C&D talked about an engine that didn't show up for work until 6000 rpm. The Matrix has higher HP but lower torque, and a torque peak Much higher than the P5 (P5: 135 peak at 4000 rpm; 180hp matrix/vibe: 130 at 6800 rpm). That means you have to rev the heck out of the matrix/vibe to get the power. I think that would be tedious. Some have said the 2.0L engine in the protege/P5 is less rev-happy than the 1.8. I find the around-town performance to be very good (I was also considering a Passat). There is no reason to rev to 6000 rpm, it is true.
I was also looking at (and could afford) the Passat, Impreza 2.5TS, Impreza WRX, and Altima, so it isn't like I couldn't buy "more" car. I ruled out the Jetta for reliability reasons (love the interior of that car though). For $17.5 the P5 is a steal (that was 500 over invoice; add tax etc). Buy one and appreciate what a great car it would be at $1000 more than that.
The shifter is smoother than my '99 Civic. Really.
Suggested driving test:
1) Drive on the lousiest road you can find near the dealer. This is confirming whether you can live with a tight suspension.
2) Drive through a favorite on/offramp or turn when no one is around to slow you down. This will make a great counterpoint to (1).
3) Turn it on and leave the fan, stereo etc off and sit in it at idle. Muffle the salesperson; notice how quiet the car can be.
4) Run it at 70-80 on the highway with fans/stereo off to get a feel for what long trips would be like.
Reviews you should read:
Car and Driver (link given above)
Automotive.com : http://www.automotive.com/reviews/2002/Mazda/2002_Mazda_Protege5.html
Road and Track (has sidebar on P5):
road and track