The stock turbo inlet is the link between the intake and the turbo. The stock inlet pipe looks almost like a black plastic shoebox which is a fairly poor design as far as air flow is concerned (trust me, I work with air and airflow management for a living). If you want to see the differences between the stock inlet and an aftermarket one just have a look at
http://www.mazdas247.com/forum/showthread.php?t=123727716&page=3 post #43 (third picture down, stock one is on the left). Round is far better than square and every aftermarket inlet pipe is round, or at least "roundish". Eliminating this stock flaw will get you a smoother throttle response, slightly quicker spool and a little hp to boot. All of the aftermarket inlets perform in a very similar manner. There isn't a massive difference between them, just materials they're made of and claims the manufacturers make. No matter which one you go with, it's a massive improvement like I said before.
As far as brands, I went with the CP-e nano because the housing was made of metal... I work with metal, I understand metal, it was just a personal preference and not some belief that it is a magical and superior product. Tunersteve recommends the Cobb because it (*edit* is $20 cheaper, sorry about pegging that one wrong) has a very good track record on this engine and several members are running it with no complaints. The jury is still out on the Corksport because it is still a new product that hasn't made its way into a lot of cars yet, but CS has really done a lot for the Mazda community and I don't see how they would benefit from throwing us a product that would not work well. It's a convenient little package at a lower cost than the other options, but being a proprietary size means if you ever wanted to change your intake to another brand at a later date, or go with a larger turbo (don't even think about that right now, more hassle than you want this early on in life), you would probably have to replace the CS inlet as well. Best thing to do is to look at all of the intake options, all of the inlet options, and start pairing them up and finding out which appearance and price you like the most since it's going on your car and the performance across the board is very similar. Some people eat their toast butter side up and others eat their toast butter side down, who's right... does it matter since they're all enjoying buttered toast?