It depends what you mean by "keeping your warranty". Do you go with what a lot of consider good enough, which is "let's see, if I was a Mazda mechanic, would I notice anything here without tearing open the engine?" If the answer is no, that's good enough for a lot of us, including me. Also, most bolt in pieces (intake, exhaust, headers, some turbos, etc.) can be taken on and off in a matter of minutes but you do have to keep all your OEM stuff to put back on when your bring it to the dealer.
Anyway, about the J-spec parts. There is much debate over the effect of the aftermarket cams for our car about how much of a diffrence they make (by the way someone has to dyno those sometime). I am seriously considering getting the J-spec intake cams and the Mazdaspeed exhaust cams installed on our car, Corksport sells them for $168 and $142, respectively. A person with an already free-flowing setup might gain 10 or even 15 horsepower, however 15 horsepower on a 130-140 HP engine is pretty unlikely, and THAT is why I am going to find out how much the gains are before I get the cams.
If you don't have on already. our engine responds particularly well to some intakes (Injen, and some other companies made some great ones, I made one myself that does great) it's nothing serious, 5 HP and maybe over that in torque if you're lucky but it's good bang for the buck if you are starting out. Also love that sucking sound hehe.
Besides that, there is always your exhaust, headers, and other basic things. Many go turbo- or supercharged and enjoy their upgraded zoom-zoominess. I plan to go turbo sometime not too long from now myself.
