each car has its issues. i seriously shopped both modes before getting the MX5.
the Z3 has issues up intil about 2000 or 2001 with the rear subframe assembly welds separating from the main part of the frame. very bad problem to have and BMW denies it's a problem at all. you can actually see the cracks in the welds in some cars. if they are visible have them welded by an expert immediately (and be careful of the gas tank!).
the SLK has its own problems, but mostly dealing with the movable hard top. i think the chances are 50/50 you'll get a 1998 that leaks, chances become more favorable for a dry top as you get newer. some cars have the tendency to not seal correctly if the tops weren't treated with kid gloves. be warry of a car previously owned by a non-car-person, if you know what i mean.
the MX5 had none of these problems, a turbo, and solid reliability for 15 years, cheaper parts, etc...so i got that instead.
save yourself the hassle and get one:
2004 Mazda Speed MX5 - eBay - $18,500 - 22k+ miles - TX 
