Rule out the MX-5, they're not remotely in the same league as the other cars you mentioned. S2K I love, but the interior is somewhat snug and you do have to be prepared to rev it to make the most out of it. Not a chore, but if you're more a fan of short shifting and riding the torque then it probably won't be for you.
Z4 is inherently less tail happy than a 350Z, so I suspect the issue above was to do with setup. I would agree that the 350 is a little more raw and perhaps outright fun, but then the Z4 is the more accomplished car. Depends on what you're after really, but neither would be horrible.