You can get spray on underseal (usually applied with an air powered gun like this stuff
Click
) and its quite heavy duty but if it splits, water can get trapped underneath it and cause rust. Waxoyl do a black underseal that is flexible and has the anti-rust treatments added, this works well but can get washed away so you do need to re-apply every now and again.
I recently gave the underside of my MGF a thorough check and found the bits that needed attention on mine were the back end of the sills - the vertical part at right angles to the floor pan and the back edge of the floor pan where it turns to go vertical up to the engine bay