So far, there have been five "Miatas at Mazda Raceway Laguna Seca" events. I've brought my turbo Miata to to all of them and run in the "A" group, with a 40% success rate on bringing my car home in one piece. So here's a few anecdotal failures to consider:
The first event was 2009, just before lunch on Saturday I split the little tiny coolant hose that goes between the factory oil cooler and the back of the head. This proceeded to boil all of the coolant out of the car, generating some oversteer, a meatball flag, and an empty radiator in the paddock. After it cooled down I borrowed some parts from Keith to bypass the hose and filled it back up with water, but it was making steam out the tailpipe. Worried about the head gasket, AAA towed it home. The head gasket turned out to have a tiny leak, which seemed to fix itself over the next 6 months, but then I decided to tear it down and rebuild before 2010.
2010 I arrived with a freshly built motor. The car ran fine, although the weekend had quite a bit of rain, which limited how hard I could push.
There was no 2011 event. 2012 featured a lot of rain on Saturday so I turned the boost down, but clear and dry on Sunday. The second session I turned the boost back up and proceeded to strip all the teeth off third gear coming out of turn 11. Fortunately I now had a trailer complete with a winch, so I didn't need AAA to get it home
2013 was sunny and clear, my car ran fine all weekend, although I chewed up the brakes badly. The guy parked next to me in the paddock owned a nearby Spec Miata shop -- he sold three transmissions that day to other turbo Miata owners.
2014 was also sunny and clear (and now in September instead of March/April). The car seemed to be running fine at the end of the weekend (albeit with a minor coolant leak resulting form a hose clamp that needed tightening, and chewed-up brakes again), but when I got it home it was howling whenever it went into boost. This turned out to be a throttle body screw that had broken and been ingested through the motor, trashing a couple of pistons and the turbine along the way.
So, 5 events, 1 unqualified success, 1 partial success (rain meant I was taking it easy most of the weekend) and 3 failures. What do I take away from it? Running a car at the track is hard on it, and running a turbo car is at least twice as hard as a naturally aspirated one. None of the failures I saw were exceptional -- the cooling system is working hard, turbo cars kill transmissions, and throttle body screw failures are not uncommonly on heavily-tracked cars. This is all with an FM2 kit, running a 2560 turbo and making in the low to mid 200s in rwhp. These aren't the only known weak spots in a turbo track Miata either, I have put a fair bit of effort into addressing other known-weak spots on the car through inconel studs, a coolant reroute, an oil cooler, ATI super damper, big brake kits, proactive maintenance on fluids, bearings, known-weak electronics, etc.
The one problem I haven't really had at the Miatas @ MRLS event is overheating, but I put this down to the fact that it's in Monterey and usually in the spring. It's usually foggy and cool in the morning, warm in the afternoon but not hot.
OTOH, Laguna is tough on brakes, and I've pretty much never had a weekend there where the rotors didn't need replacing at the end. I now have an 11.75" Trackspeed kit waiting to go on the car once I get the rebuilt motor installed.
Thunderhill is an entirely different story on cooling. You want the biggest radiator you can find, lots of ducting, no AC condenser to block airflow, etc.
As Keith says, I could likely have avoided many of those failures by not running the car quite as hard. OTOH, I take the car to the track to have fun, and to see how fast I can go. Turning the boost down because the car is overheating, or lifting because the brakes pads are fading isn't fun.
Hey, Keith, any word on the 2015 event yet? :)