First off, I already know that this has been talked about on here but this is slightly different.

I have a 2002 Protege5 2.0 5speed. It runs great, no hesitation whatsoever, never sputters, never does anything out of the ordinary. But, it burns oil. You can smell it after the engine warms up if you lift the hood or the wind blows the right way but there is no smoke on start-up or while driving. There is also no leak that I have found. Never any on the ground after being parked. I currently have 10W-30 oil in it.

With no smoke it makes me think that it isn't the oil rings because that would burn the oil and push the smoke into the exhaust where I could see it. I've also checked the PCV and it seems to be in working order. My only thought is that it is dripping on the exhaust manifold and burning off because I can only smell it in the engine bay and not at the exhaust. At the same time this doesn't seem right because I think I would see smoke coming from the hood while driving or after stopping with the hood up.

I plan to pull the plugs this weekend for inspection, I just don't have the time right now.

Any insight to this would be great, thanks.

 

MILEAGE!

Change your PCV valve, Mazda never did! It seems to fine is a cop out, spend the little bit of money and have piece of mind.

You may have an oil leak dripping on the exhaust, like you suggest, but maybe further down bottom of engine area.

You may not see any oil because the catalytic converter is doing it's job. As a last resort you could add a couple quarts of lacquer thinner to the gas tank as per video below.
With an older car you may have some blow by.

Try to clean your EGR valve by at least spraying it. You'll probably have to clean your throttle body. Since you're doing that you mind as well clean your MAF sensor.

Disconnect negative terminal on battery first. Let idle for 10 minutes before driving. Make sure parts are dry (MAF) before starting.

 

Good advise by Noggin.
I wonder how much oil do you need to add per 1000 miles?
How often was the oil changed?
The car is 11 years old. There is a good chance you have oil going past the rings either because of wear or because deposits keep the rings from doing their job correctly.
The valve shaft seals may be worn.
You may want to wash the engine top to bottom, drive until you smell the oil. Then inspect the engine from below using a good light source.



My '98 Protege, 175K miles, is due for a timing belt. That's the opportunity to change the valve shaft seals, correct valve lash, change the valve cover gasket set and flush the cooling system. I am sure those valve shaft seals are leaking.

 

Thanks for the suggestions, I'll get on those as soon as I can (when I have a day off).
I've only added about a quart in the past 1000 miles. Like I said, you hardly notice it unless you pop the hood but I want to nip it in the bud to avoid any major problems.
I change the oil myself every 5-6000 miles.

I'll update with what I do and the results as soon as possible!

 

I change the oil myself every 5-6000 miles.

This might be a little long unless you do only long distance driving. Most people should stay in the 3 to 5 K range. Most filters are big enough to do a decent job for 3 to 5K. But they do clog up and the oil will bypass the filter.

This is the best web site I know on the topic of engine oil:
Motor Oil 101 - Bob is the Oil Guy

 

Sorry this took so long, work's a bear.
Anyway, I replaced my spark plugs (just worn, no signs of oil residue) and my PCV valve about 3 days ago. The smell isn't as noticeable anymore but definitely still there.
I noticed yesterday that there seems to be some oil seepage around the exhaust manifold underneath the heat shield. I plan on taking it apart some time this week to see what the extent of the leak is

 

Valve cover gasket?

 

That's what I'm thinking. Sometime this next weekend I plan on taking off the exhaust manifold and scrubbing it down then driving for awhile to see how bad it is.