Congrats!!!!! (yippy)
Enjoy your car, I love mine Sooooooo much!
As far as first mods go, do whatever you want as long it it's tasteful.
I'd probably suggest the following
1) a stubby antenna
2) window tint
3) some nice looking wheels
4) upgraded audio system
The next list will cause warantee issues with Mazda if your car decides to crap out on you:
1) Suspension - eibach springs, Front/rear sway bar, etc.
2) Cold Air Intake
3) Exhaust system of your choice
As you can see there are quite a bit of mods to do, some cost more than others, so make sure you budget accordingly! (shocked)
Cheapest one is the stubby antenna @ $20.00. Window tint is anywhere from $100-300.00 depending on how cheap you can get it w/o sacrificing quality installation. Wheels are anywhere from 600-15k lol. I think you get the general idea.
P.S. before you post any questions and/or problems make sure you look around the forum as it is more than likely someone has already posted about it. Welcome to our family!