I have a 2001 Protege ES 5-speed so I think I can help you out.
Like others have said, the steering and suspension in the car is goddamn fantastic - I like to say that when you are on the highway, the car feels like a Japanese BMW. It is stiff, so try to avoid the rough stuff. The 2.0L engine gives pretty decent gas mileage, about 26-27 in the city and 30-31 on the highway are the numbers I get pretty consistently. Around town it's a bit weak if you ask me, but on the highway the 5th gear is aggressively geared and allows you to pass and pull away from traffic with a decent amount of strength.
The interior is really nice. The seats are a bit flat but are great for long trips - my legs hardly get fatigued. The dash has some minor rattles, but nothing that is too bothersome. edit - The stock radio has a great layout for its controls with two large knobs and nicely organized buttons. Visibility is great because the car is a 90s design, when massive beltlines weren't in style. And the illumination is more red than orange and looks great at night.
The brakes are pretty good, and the ABS on the car is very effective and sensitive. There have been several times when the car actives just one wheel when coming to a stop on a wet or snow covered surface. Keep an eye on the rear brakes, which are known to have the calipers seize.
Ok, now for trouble spots. With the cars that have a 2.0L engine, the engine mounts are known to develop tears near the 50K mileage mark. If the clutch shudders when you drive the car, or the engine feels like it jumping out of the car when you launch it, replace the engine mounts ASAP.
Do not buy the SLS mounts, buy all mounts from AWR via protegegarage.com.
You need to do this because if the mount tears you can damage critical parts of the engine from the vibration. This is the one flaw of the 2.0L engine: it has a ton of vibration (compared to the 2.0L in the new 3) and so Mazda put soft mounts in from the factory to make the car feel smooth.
The suspension endlinks are known to go out depending on the mileage, which will improperly load the suspension and cause the car to not track or handle properly. Make sure you have these checked when you look/test drive the car.
The A/C in my car blows strong in hot weather, and can cool the car down within 10-15 minutes - however if you are sitting at idle, the A/C can be weak. This is something I've seen with all Mazdas - if the revs are higher than 2000, then the A/C gets considerably stronger. My car behaves the same way.
Rust is also something to consider - While the paint on the Protege is, IMO, more durable than the paint jobs on the Mazda3, it still forms rust bubbles at the rear wheel wells on some cars. There's a dealer TSB to fix this, which is caused by the rear bumper screws being loosened ever so slightly.
Ok lastly, - if you are in a major city, just do yourself a favor and don't buy a Protege unless you change the mounts. Don't want to change the mounts? Then get a Civic EX sedan. The Protege is really a car that was born for the mountains, highways and empty country roads. City roads will destroy the car, and the engine mounts will eventually wear and cause you to go nuts with the transmission shudders that result.
I hate my car whenever I drive in the tri-state area, but I love it once I get to an empty curvy highway because the car is sooo rewarding to drive with its suspension and steering feel. It's a great car to own, and I love how it looks, but there are some things which can be annoying with its ownership which you should know about it.