For once, I actually agree with Sublime

lol
...Mostly...
Before I got my FTO I did a lot of research! I would suggest that you go and have a look at a lot of different cars before you settle on an FTO, and then, even after you have settled on buying an FTO, you will still need to go and have a look at a lot of different ones before you buy - don't just settle on the first ricey looking GPX that you find - it might be better to buy a stock standard FTO with low KM's and do extra mods yourself.
First of all, jump on
www.carsales.com.au or
www.carpoint.com.au or similar, and even grab a few car trader magazines. Firstly you need to decide whether what you want is a.) Power b.) Handling c.) Looks nice d.) Price e.) Rear wheel drive/front wheel drive/4WD
There are plenty of cars out there which are either one or the other, powerful, or look good and if they're both, you usually pay through the roof for it. I looked at seriously getting a few cars before I decided on my FTO - Supra, 300zx, 200sx, Pulsar GtiR, Rx7, Corvette and Porsche 924/928 among others, some I didn't like the look of, some I didn't like how they drove.... So you really need to test drive & find out what you're best suited to.
FTO's have got some decent power though, and look awesome, AND very cheap for what they are! (IMO) which is why I decided on getting one -It is something I wouldn't change if I could go back and do it again.
P.S. - Mazda MX5's are a girly little matchbox car & should not ever be compared to an FTO. Don't ever buy one, unless you're planning to make it into a go kart.
P.P.S -

Don't ever buy a WRX or Skyline - (r33,r34 lol). :S
Supra's are pretty cool though & was gonna get one until I found my FTO, which was almost half the price, and looked twice as good

You should be able to find an FTO for under $15,000 with full comp insurance, but unless you buy the older model Supra's you won't get it for less than $15k