Mg ZR's will NOT be cheap to insure. I had one before I switched to my MiTo and the insurance was £200 cheaper on the MiTo despite being substantially quicker and more expensive (ZR was £800 for me with 3 yr ncb). I'd be surprised if an mx5 doesn't work out similar on insurance, it did for me if memory serves (a little while ago admittedly). So as others have pointed out don't base your decision on engine size, you might get some surprising quotes for cars you thought were going to be expensive to insure.
As for the car itself. You can get a lot of car for the money going for a zr. Partly due to the rover reputation (deserved in some ways yes, but often blown out of proportion). Aim for one with head gasket already done and replaced with the improved version. No guarantee it wont go again though. Other than that you're generally going to be looking for the usual stuff you'd be looking for with an old used car. If this is for a first car get something else.