Well, you already have the CAI.
The next thing you'll want to do is open up the exhuast. May want to look into a full turbo back exhaust. That will replace the stock catalyc convertors with a bigger downpipe. Depending on which DP you go with, it can either have a hi-flow cat built into it such as the CP-E DP upgrade. As shown
here It's expensive, but being able to pass imissions testing in Texas, it'll be worth it. Although I'm not 100% sure if that would even pass?
Or you can go with a Corksport type DP that deletes the 1st cat, and bolts directly into the second catalyc convertor..... such as this one from
ProtegeGarage. You'll still retain the 2nd cat, but you can always delete that one by installing a test pipe(TP) in place of the second cat, which can also be found at the same web site.
It's not cheap, then again nothing ever is if its worth it.
If that doesn't seem like something you want to pursue yet, how about changing out the stock shifter? Go with a
TWMShortThrowShifter. This is a really great upgrade in my opinion of course. There are others who love this as much as I do. But I wouldn't bother getting the weighted shift knob. The one that TWM has is about the same weight as the stock knob, its about a tad heavier over stock if anything. Get the bushings too, makes the base of the shifter more firm when going into gear.
Just a couple of things you can look into while you think about your next mod.
You always have the option of lowering your Speed3 if you want.

MazdaSpeed Sport Springs work just fine for me. Others can vouch for the Cobb set up as well. It's all up to you, and how deep your pockets are that'll make your Speed3 better over stock. (drive2)(drive2)
-J