I have a '94 mazda mx-3
1.6l 4 cylinder engine (original)
4 speed automatic transmission (original)

When i am at a stopped idle it is very rough while it is in gear. 
When i take it out of gear and put it in neutral or let it idle
forward (not put the brake on and let it roll) it is smooth.  It is
also relativly smooth while driving, one thing i have noticed is that
when switch from drive to neutral the rpms go up a bit then back down.

Had a 92 Integra with the same problem...was told it's problemw with engine mount.

I have a '95 Manual Transmission MX-3, but I think I can help you.

Automatic Transmissions all work in a similar way. They all have some
slip and friction. When the transmission is engaged, but you are not
moving or applying gas, then engine has to work a little harder to
keep its idle RPMs steady against the friction of the transmission.
This is normal.

When you go into neutral, the transmission is disengaged, and suddenly
it is much easier for your engine to spin, and this causes it to
temporarily spin faster. The car computer realizes that it doest have
to work as hard to maintain RPM, so it compensates, and returns the
speed to a certain level. This is normal.

 Cars with larger engines dont notice this effect as much. However,
this may be an indication that your engine is underpowered. I bought
my car used in 2000. It was underpowered due to some worn out plug
wires. I replaced the wires, cap, rotor and plugs for cheap, and my
car was more powerful, and suddenly I got ` 8 MPG better. (I now
average 35mpg highway)

HTH
-David

As long as I can stick my $.02 in here....

My 90 jeep wrangler (may it R.I.P.) took me in and out of Manhattan
every day for nearly ten years, went on road trips to Buffalo and
Orlando, and held as many as 6 guests. It's small problems
mechanically were simple.
It is shaped like a box so the wind hates it. 
It was slightly light in the rear so it slid sometimes. (hard turns in
the rain)
It was a magnet for bad drivers (hit twice)
It rough idled no matter how hard I tinkered or how much I strained
myself trying to figure it out. Later as it got worse the idle would
rise and fall. So, based on that last note, I do have a suggestion.

A mechanic friend (read: Miracle Worker) climbed in the engine
compartment and spent twenty minutes checking every single vaccuum
valve and line under the hood. It ended up being a 2 dollar solution,
a split vaccuum hose in the rear of the engine was throwing the idle
off constantly. Perhaps this is one of the things you might want to
look into. I mention this only because I know that the brakes effect
vaccuum pressure, there is also a difference in pressure between idle
in "in gear".

Please let us know how it works out,
Mother911-ga

i have a  92 mx3 five speed. about 3 months ago i had to but ina new
tranny after i got it all back together i had a similar problem with
with the exception of yours is an automatic the only thing that was
wrong which took me about 2 weeks to come across was that the mass air
flow sensor wiring clip had broken and it wasnt making contact witht
he terminals im not sure if this is it but let me now if it is