Typically they are very easy to replace.
A rule of thumb about spark plugs:
best spark and shortest life: copper
good spark and good life: iridium
fair spark and long life: platinum

I think it is good advise to take out the spark plugs for inspection and checking the gaps.

NGK has a good diagnostic page:


NGK Spark Plugs USA

 

Nice Chart Above!

Ignition Coils $71: 1994-1997 Mazda MX-6 Ignition Coil OES Genuine

But this one is better and cheaper: 1994-1997 Mazda MX-6 Ignition Coil Accel, E-core, Standard, Direct fit
Get iridium plugs with these hi voltage babies!

SPARK PLUGS: click here: NGK Spark Plugs USA

You'll have to input the info as you did not give us enough info. Same thing for ign coils. Use the iridium ones. Now you have the part # then you can search for a price!
It's asking engine size and manual or automatic. You have enough info to look it up yourself.
OVER & OUT!

 

Ok, so I replaced the coil and its still doing it. So I did the plugs and wires and the cap and rotor and its still doing it. Any other ideas??
I'm going to do the fuel filter next.

 

Did you look at the spark plugs and compare to the chart?

Don't swap parts without properly testing them. Check fuel pressure. Check for vacuum leaks. Any cracks in the air intake tube? All hoses connected?

You can loan tools from a decent parts store if you have a credit card. EricTheCarGuy has a lot diagnostic videos on Youtube.