I love the look of the HKS hi-power axel back. It's unfortunate that they don't offer it in a full cat back setup for the P5. I'm trying to decide on one of three options right now.
1) HKS hi-power axel back w/custom cat back piping from exhaust shop (best looking, also the most expensive probably - axel back alone is as much as the whole magnaflow system... yikes!)
2) Greddy Evo2 cat back (almost as good looking as the HKS, and probably a little cheaper in the long run)
3) Magnaflow cat back (cheapest of the three options- great deal! Tip is very nice and classic, but not as aggressive as I would like)
When I decide on what direction to go, it'll be hooked up to a MAM hi-flow catted mid pipe, and an OBX header. Right now I have stock exhaust except for the mazdaspeed P5 axel-back. I love it, and have no problems personally with the highway drone many speak of. However, per descriptions of other members, idk if I will be able to tolerate the sound level long once I install the OBX header and MAM mid pipe. I've heard the noise is almost unbearable with this axel-back... so that's why I'm looking to expand into a full cat-back. All in all though, the MS P5 axel back has been great to me. It sounds great w/stock components, looks great, and is usually hella cheap! Can't beat it when you're first starting out IMO.
Oh and I forgot, I have the injen CAI. I love it a lot... however the only real reason I probably chose it over a cheaper alternative is that it was offered one time in a blue color that very closely matches the color of my car (laser blue). IDK if they still produce them in this color however... I heard that I got one of the last, but have never confirmed this.