Before getting my Zed I drove a few MX5s since I was looking simply for 'car that's fun to drive for ÂŁx'.
The Mk 2.5 had terrible bounciness at 70mph (well known fault apparently, and no real fixes if you get one - so test drive at speed) and just didn't feel that great if I'm honest.
Mk 3 drove like a supermini with a small cockpit.
Mk 3.5 drove great, really, really, really fun car to drive. I'm not sure why the other versions were so poor, but it was totally consistent. Never drove a hard top model, wish I had since the Mk3 had but one flaw - a lot of wind noise at 70mph. I wanted to hoon about in the mountain passes and that means a day or two of driving along the motorway which meant the MX5 was sadly out for me. It also revs pretty high at motorway speeds too which is also somewhat tiring. But here's my thoughts comparing the two (Mk3.5 MX5, Z4 Mk1) anyway:
Luggage space - Z4 basically has the boot space of a supermini, the MX5 has very little. You can fit golf clubs in the boot and it'll be enough for a weekend break - but a real holiday is somewhat pushing it.
Handling - They actually handle very similar, I would give the nod to the MX5 it's very nimble with amazing road holding ability mixed with a smooth ride. The Z4 obviously has to contend with a 3.0 straight 6 so the tyres etc. are set up for that really. If you're looking at the MX5 you're looking at the 2.0 Z4 and the MX-5's chassis better matches the engine capacity.
Performance - The 1.8 engine is really sweet, it's the little engine that could. The 2.0 feels like a typical Jap engine, with a slightly higher rev limiter. It's good, but nothing to shout home about. The Z4 2.0 is slower than the 2.0 MX5, faster than the 1.8 MX5. The 2.5 and 3.0 straight 6 BMW engines slaughter the MX5 engine - as well they should, but it's a comprehensive pasting.
Comfort - The latest MX5s are surprisingly comfortable and exceedingly well equipped. You would need a lot of extras on a Z4 to match the kit level of a Sport Tech MX5. However, when it comes to actual driving the Z4 is in another league regardless of equipment level. The roof is motorised and very well insulated. The gearbox is easier to shift gear with, the ratios better suited for 'normal' driving, etc. The Z4 easily has it for comfort tbh - just make sure you get heated seats.
If I had the choice all over again, I would still pick the Z4 - albeit a 2.5 rather than 2.0. I did fall in love with the little Mazda, and I still carry a torch for it. As a roadster for having pure unadulterated fun it's still better than the Z4, it's got the British roadster formula down better than the British ever did. It's shear joy to drive. However, the roads are busy and we can't spend every day powering around B roads since you have to get to places (plus the B roads are littered with slow moving 4x4s and Nissan Micras). If you need a car for getting down to business - like a proper road trip, you want the Z4. If you want a car just for hooning about in, get an Ariel Atom or Caterham. I love the MX5, but the proper roadster formula doesn't work on the roads we have now imho.
All that said, if the MX5 hard top solves the wind noise and insulates you a little more from the engine at higher revs, then, well... things just got a whole lot more complicated.