I just got a 2010 Mazda 3 Hatchback a few months ago, and was looking into modding it!
Where should I start? I'm looking for performance first before aesthetics.
WELCOME!!!! Make sure you break in the car nicely at first. You should try the sponsors section of the main forum tab. all those companies do great work. Honestly it depends on your taste on what you want to beef-up first. For example when i had my pro5 i was going towards adding power. Now with my mz3 i tackled the car with better traction and lowering springs and stiffened up the rear motor mount with bushings from corcksport and next is a short shift plate. U can say i'm beefing up the feel and response of the car, and i'm glad i have.(considering the commuters around my area)
Theres a lot of questions already answered in this section for your car already so just sit down and search around a little. The search feature is actually pretty helpful (personal experience)
First thing I did to mine (bought a new 11 MS3) is add an intake. For the cost, I think it delivers a very good amount of performance and noticeable difference. I went with the K&N Typhoon and I am very happy with it. It has a block off box to help reduce air temps and *knock on wood* with 3000 miles no CELs. I have noticed much better response as far as reduced lag, not sure how much power it may or may not have provided but the response and sound are very good. Of course, there are many other intakes as well so you have plenty to choose from.
I thought about doing the ECU turning but I may hold off until my warranty expires before I go that route.
Any mpg change will be minimal. At first, most result in worst mpg cause they want to hear more from the engine bay, then it slightly gets better because they get used to and don't smash the throttle quite as much.
this would be my path:
1) Intake
2) Struts-Springs or Coilovers
3) Rear (and maybe front) sway bar
4) Short-Shifter
5) Exhaust
6) Header
7) Engine mounts
anything outside of those will either be maintenance items, or not worth the effort of installation. if you want BIG power, substitute intake-header-exhaust for turbo set-up.