first, read -->
http://www.mazdas247.com/forum/showthread.php?t=123677826
exhaust is the biggest thing, so a free flowing exhaust should be next. For tuning, most would probably tell you about the ssafc. It works great unless you are going for big numbers, standalone is the only option. Speaking of that, your goals depend on what you mean by "big power results". Do you want a quick bolt on car or are you going all out and rebuilding with forged internals since the stock internals are like playing russian roullette.
You can look into getting stiffer motor mounts since the stock mounts suck, possibly a welded lsd or better, boost gauge and wideband to monitor your boost and air/fuel mixture, intake and exhaust manifolds, boost controller at no more than 9-10 psi with tuning. There is so much you can do with these cars from suspension to motor work, hell even new shifter bushings can change the way the car feels. Im pretty sure someone will chime in with more info but just browse through the msp performance forum. You will find lots of info on what you are looking for.