As far as what can you do without them voiding your warranty, I have done the following: window tint, taillight and marker tint, black emblems, radar detector tapped into fuse box, dashhawk
Pushing my luck: Cobb SRI, turbo xs hybrid valve, CS mm inserts, dp/rp (soon)
The MSD Dashhawk will not void your warranty, plugs into your OBD-II port and can act as upto 7 gauges at once, datalog, etc. I also use mine for warnings and staggered alerts for shift points. An excellent tool. I have heard a few people say they got voided for gauges, but the dashhawk can simply be unplugged
Most places will void your warranty for an intake that isn't the mazdaspeed cai, but the cobb is VERY easy to install and uninstall if you need to. Same thing for the 50/50 hybrid bov. The inserts I guess are technically not allowed, but they would really need to be looking for them. I am going to do downpipe and racepipe when my downpipe comes in the mail. That is blatantly voided
I recommend an intake (MS CAI will keep you in warranty, or Cobb is easy to change out if needed), MSD Dashhawk, and the motor mount inserts. I got the black cs inserts and they look factory unless you are trying to see them. the hardest part of the install is getting the car lifted up, it's pretty easy. Also, I really did not believe they would make that much difference, but the whole car feels more solid in every sense, NO vibrations or any negatives to report AT ALL.
Enjoy the car!