Best NEW car under 20G's IMO is the Mini Cooper (about 15k) or the Cooper S (19,xxx stock, fully loaded is about 23-24000). Cooper is slow but handles great. The S is basicly the same car except that it is supercharged (16x hp, lots of trq at low RPM's) Also, for an economy car, you get tons of looks in it. The STOCK cooper beats mazdaspeed protege, SE-R, and the Civic SI in looks, funness (if thats a word) to drive, and affordability. The Cooper S is so much better then the new SI in every catigory, looks and handles a whole lot better then the SE-R, and same with the Mazda. I would go with a Miata over the protege.
What kind of car are you looking for, 2 door, 4 door, 2 seater, four seater? If you go the used route, you can find some kick ass cars for 20K.