Might not be a bad thing to "revive" this thread, as gen 1 cars are now starting to get some miles on them and even good pumps will eventually develop internal wear. My stock pump held pressure above 1600 psi, even with my mods below, until a few weeks ago and 61,000 miles of "spirited" driving. It began dropping pressure gradually until pressure fell below 1400 psi under high load.
I went with the Autotech internals. Our car's cam driven fuel pump uses the same internals as the 2.0T Audi-VW. Autotech has been around a long time and their kit has proven itself to be (1) easy to install - very clear instructions and (2) very reliable. I'm sure the other products out there are too, but reputation counts a lot for me. It is widely available from a number of vendors. Shop around for the best price. Expect something in the range of $340-360 shipped.
As to the install, follow the sticky and you'll do fine.
http://www.mazdas247.com/forum/showthread.php?123719261-CDFP-Internals-install-guide.&daysprune=-1
A few extra pointers: You will have the option of just replacing the internals (piston and chamber, stem cap and keepers), or doing a complete rebuild. The latter uses no new parts but in addition to replacing the kit parts, there is a complete tear down, cleaning of all internal orifaces and reassembly.
I opted to just do the replacement of internals. To do that the only "special" tools you need that would not be in most hand tool boxes would be an E-8 reverse (female) torx socket (1/4 inch drive is fine) and a deep 18 mm socket (3/8 inch drive is fine). The 18 mm nut is going to be torqued down pretty tight, so you might have to use a pull handle and extension to break it loose. It needs to go back just as tight. I think torque spec is about 50 pounds, but not sure now. In disassembling the pump and putting in the new internals you need an ultra-clean work surface and should wear latex gloves. Even a tiny speck of dirt or debris getting into the pump can be disaster.
To do the complete rebuild you will also need a T-25 "safety" torx. That is a T-25 that has a small hole in the middle. As stated, I opted to thoroughly flush the pump with fresh gasoline and blow out everything with compressed air and did not do the complete rebuild. Your choice.
If you let the car sit overnight the system will depressurize the pump. That way, you do not have to pull the relay to depressurize it before starting. Take off the cover on the top mounted intercooler. The pump sits up high on the right side of the cylinder head as you face the engine from the front of the car.
You will need a long zip tie and put it just below the nut on the high pressure line going into the bottom of the pump. Otherwise, that nut can fall down the line deep into the engine bay and may be extremely difficult to retreive.
I recommend that you pull the battery box. Some guys manage to remove and replace the pump without doing that, but I can't see how it is possible. Removing the battery and box is a bit of a pain, but it is straight forward. Since the ECU is mounted on the side of the battery box, you have to remove the two plug straps and pull those plugs to get the combined ECU and battery box out of the car. There is also a two wire plug on top of the fuel pump that needs to be removed and then snapped back in place after you are done, in addition to the "blue" and "yellow" coded fuel lines.
Be sure to use clean gasoline to flush out the inside of the pump and "wash" everything, but do not, I repeat, DO NOT use gasoline during final assembly. You must use fresh engine oil to lubricate the internals, especially the piston wall and chamber-cylinder. Gasoline is a poor lubricant, to say the least. It would be good, but not necessary to use moly-based cam lube on the contact point with the cam, although a few drops of fresh engine oil will do.
Be sure to key the ignition to "on" (but do not start the car) several times and then hold the accelerator pedal all the way to the floor while turning the engine over. The car will not start with the accelerator pedal floored, but it will prime the fuel pump.
Then you need to break the pump in by driving the car normally but avoiding full wide open throttle use for about 75-100 miles. You can then drive the car like you stole it.
BTW: This upgrade increases both volume and pressure. The kit piston and cylinder are much larger than stock, so you get more volume of fuel for each pump stroke. Data logging is showing pump pressure now as high as 2100 psi, compared to around 1750 max on the stock pump. However, the extra pressure probably cannot be actually used on stock tune or even with HT. My data logs show that "commanded" fuel pressure never exceeds approximately 1670 psi. But the extra capacity is good insurance and would certainly be a consideration for custom tuning.