How much horsepower are you looking for? How much you have to spend?
These are basically the rules to live by when modding an MS3...
1. Intake (Mazdaspeed-CAI, Cobb SRI, CP-E CAI, etc)
2. Standback or Piggyback, some form of engine management (Xede, CP-E)
3. Downpipe/midpipe (not the catback...this car has a great stock exhaust)
4. Intercooler upgrade!