I went the coilover route, then decided to go with a nice set of shocks and springs instead.

I made this decision because:
#1 - I don't plan on tracking my car a lot, just occasional autocrosses and perhaps a track day or two.
#2 - It really did hurt the ride of the car for daily driving, it became pretty uncomfortable because of the state of the roads in my area. Construction sucks.

I opted to go with a pretty firm spring (Tanabe GF210) and KYB AGX 8 way adjustable shocks. This way I can keep the dampening a bit soft for daily driving, and tighten things up easily if I plan on autocrossing or simply doing some spirited driving.

edit: soulD he has a Mazda speed 6.