97 was the last year they made the 2 generation Mazda MX-6
As ed has mentioned headers and a nice cat back or set up of your choice will give you a little more umph. Unfortunetly as far as bolt on Hp gain are concerned there are not many options to go with. A nice cold air Intake will make it sound better while giving it a very debatable small hp gain, be sure not make it above the ground a fair bit as the once again (debatable) hydro lock may also be a concern.
Other then that you are going to have to look at and eprom chip, it is to be soldered into the ECU and rewrites some of it to give the engine a better way of running. They can be had for pretty cheap prices. Be sure to stay away from the cheap resistor ones sold on eBay. They are garbage and a complete waste.
If you want to get real serious. Thin ZE bolt on's. Such as a Ze intake manifold, heads, and cams as well. These will give you some nice hp gains and a different feel to he power band if done properly. Be sure to do tons of research if you take this route as knowledge of installation and proper component's to go along with the [parts is needed to achieve their full potential.
Last but not least a Turbo. If you want a huge kick in the butt this is for you. all I can say about this is you need to really really do your homework. there is not bolt on setup for the MX-6 (V-6) that i know of. If you have an I4 its not so bad to have a shop set up a exhaust manifold for you. Like I said though, all of the components needed to make your setup thrive have to be obtained individually and set up all custom. The room under the hood is very limited and the battery must be relocated to the trunk. Hope that helps a bit with the narrow spectrum of how to add hp to a 2 G mx6.(hand)
That's basically the iceberg.