what type of headunit is it?
some have a lot of extra features that will not work or will cause problems with the car if you disable the factory headunit.
Like the new lexus has a heat radar detector, which won't work without the factory gps/touch screen.
If your stock hu has a touch screen, temperature readings, etc. Then I'd keep it and get a PAC. a PAC is a box that connects to your factory headunit and allows you to add an aftermarket amp to your system. Or you could use speaker-in leads, I think this is of less quality though.
But if you have one of those throw-away headunits, then defiantly throw it away. On the mazda protege forums i frequent (i drive an 02 protege), you'd be lucky if someone is willing to pay shipping to buy a factory headunit.
Having said that, I'd recommend an alpine 9887. From the research that i've done, its better than the prs800.