I got a cold air intake from these guys and i have been running a K&N Air filter on it for the past few months and it is awesome... Uou can get it one Ebay for a little less than their website. Just search for Mazda Protege CAI...I have the Injen CAI and love it but yeah they are alittle pricey but you gotta pay to play they say...Ive heard good things about these guys check them out heres the link. For the price its not a bad deal.
http://www.cosmoracing.com/productinfo.asp?cid=193&pid=711