costly repair

If you do it yourself... it's not too terrible... get a haynes or some guide book and take your time and read every line twice before you begin, and make sure you have all the tools you need and that you can do it in a fairly clean garage.... If you're talking about paying to have it done, well then yes... it's going to be expensive because it involves removing the head, and is fairly time consuming, thus they'll eat you alive on labor costs. Otherwise assuming it's only one valve... $200 if you do it yourself isn't all that unreasonable (depending on what all you do while you're there valve cover gasket and valve seals ect...) Easily double that at a shop(probably more) I'm basing this off experience with a zetec Ford, so hopefully someone with more knowledge of Mazda's will reply and give you better more specific advice

Your car may have an overhead cam setup which depending on what is wrong with the valve may require pulling the head, replacing the timing belt, etc. I would say this is likely an expensive repair unless you have another car you can drive while you shadetree the Mazda. May take several hours. Head gasket may be an expensive issue -- a 1997 Mazda 626 I junked once because the head gasket went, and the part itself was $800 -- JUST THE GASKET.

A damaged exhaust valve means the cylinder head will need reconditioned, with new valves and springs, cam seals, etc.... If it hasn't had a timing belt it should be replaced also... Depending on how many miles are on the car it may be more sensible to replace the engine with a used one... An estimate for this kind of repair a shop would be around $1500 or more.