I own a 91 626 5 speed and it's a great car so far. Love it to death.
To avoid **** parts, avoid dealing with unknown companies. I would recommend Rockauto as the #1 source of all your major parts required (moog, mevotech, beck/arnley, valeo, kyb, victor reinz brands, raybestos for example) then for the smaller, delicate or complicated stuff go see Mazda for factory parts (they're very reasonable for this chassis!) I've gotten odd body/interior/engine pieces from then to complete my car.
Definitely start with a compression test though and see what your comp numbers are at, don't bother with the coolant test yet if you have to gather up parts for that, compression gauge is dirty cheap lol.