Having done an obnoxious amount of reading on exhausts, backpressure, turbos, yata yata, here's what i've found:
3" exhaust is definitely a good idea on our cars, that is, if you're going to commit entirely. Downpipe all the way back to catback will have to be 3" to make an improvement. When I installed my MSCBE, 3" didn't really do much with stock downpipe. Infact, I lost low end, but gained in the higher rpms (which is proven, larger exhaust is always better on turbo cars in higher rpms, our ms3's are not high rpm cars).
Anything less than 300hp and you should maintain the stock 2.5" exhaust diameter. Borla and I believe also AutoExe is 2.5" exhaust. That size was picked by Mazda to maintain proper exhaust velocity and torque throughout our car's particular power band. For light mods, stay at stock or stock sized piping.
Then again, if all you're looking for is sound, start cutting out exhaust resonators..it's much cheaper.
If you're looking for good sound and don't really care much about the performance aspect, then go MSCBE! I like the sound a lot. It's very subi STI-esque.