I've owned all three:
I won the NASA TTF National Championship in a MX6 in '06
Great engine in a POS chassis. All these cars are now 15ish years old. Mine was fairly low miles, but the chassis never felt especially stout. I recall a mix of metric & standard sized fasteners. Make sense because it was a ford probe, assembled at a ford plant in MI (same plant that build the 626 today). Quality and longevity seemed marginal, IMO. Aftermarket support is poor (except for appearance and rice), suspension is only ok mac strut, brakes were too small for the road course (it would eat a set of Carbotech XP10's every weekend), and the power steering sucks for autox. On tight, local level courses it can't keep up. This was an issue when they were new, google it and read up. It is very hard to drive a car in a tight slalom with the PS only working 1/2 the time. A different sized PS pulley could solve this issue, but I do not know the details.
Mine had AC and PW, no sunroof and weighed about 2820 with low fuel including my 200lbs weight. I was able to make to make the 2800lbs TTF minimum weight easily by just removing the passenger seat. Not much if any lighter than an e30. Mazda does pay nice contingency if you run in a series that pays out. I am a big fan of Mazda products and their motorsports marketing would encourage me to buy Mazda's for race or street cars. I would honestly take the MX6 off your list, it's more ford probe than a Mazda. Despite the posts from a couple fanbois early in this thread, the mx6 would be the slowest and least suited to track duty in stock form.
e30 - everyone knows the pluses and minuses to the e30. Good ones are getting harder to find and prices are going up for those good ones. Better power to weight than the MX6, and better suited to track life.
2 dr Impreza's - I drove a 2.5RS about 10 yrs ago at a HPDE and was humbly surprised. Most AWD cars I had driven at that point (early audi's), felt like bigger, heavier fwds. The Scooby drove and felt much better than the specs implied.
Fast fwd to today, I just bought a beater, autotragic, 2.2 base Impreza coupe because it was priced way below kbb. It drives pretty good, feels well balanced for a front weight bias car, is WAY too much fun in the snow, and is quicker than you think it should be with 145hp (base 2.2L boxer 4). My B18 CRX should make about 140hp at the crank and weighs less than 2klbs, but this awd, auto Impreza feels just as quick around town. Torque is your friend. The interior styling is outdated and the quality of materials is poor. Similar to domestics of that era.
Good clean 2.5RS' do demand a premium, but I would buy one in a heartbeat if the right car and deal present themselves.
I'm also a big fan of e36, but cheap/good are getting tougher to find. There are lots of great cars out there for <$6k, good luck and have fun!