I think hes looking for a little direction,and not a FULL planned out build.
To answer your question
First off I will have to agree, that mods on a N/A engine bassically work arround freeing up the breathing of the engine & they will all work best together. However like myself I would assume your working with a budget and plan to get parts as you can afford them.
Ill give my opinion and sugestions, I would have a goal of arround 130 to 135 whp (based on what youve been explaining you wanta)
Motor mounts.
for this kind of power incerts all arround
arround 100$ for all 4 awr.com & rr-racing .com have them
You already have the intake (cai will be more powerfull, but the SRI safer, you choose)
Exhaust
Contrary to what some have said in this thread the reg Pro exhaust is NOT completly the same as the MSP. I hope everybody understands an exhaust is only as good as the point with the most ristriction. You can have uber flow before or after but there will always be that bottle neck. the Muffler and exit pipe are some SERIOUS bottle necks & swaping them for even just the MSP axl back makes improvements in the flow & this in turn benifits the other mods.
Sooo I sujest a Mid pipe with a high flow cat (or catless if you prefer) as the mid pipe is another area of needless ristriction inthe system.
Arround 200$-300$ MAM used to make them but they areclosed (I think they are closed) there is another place that makes them (a tad more expensive though)
Of you can get a High flow cat, flex pipe and get a garage to fab up one for you, but you will have to ask them for the cost.
& a Axl back system (Get a bolt on kit)
This can be expensive dependig the rout you go
I sugest eBay, where you can get a used MSP axl back for arround 200$ (The Stealership will ask for arround 500$)
Headers
Grab some OBX headers off eBay for 200$
UDP Under Drive Pulley.
the headers hook you up up high, but rob you a bit down low, this will ballance that out a bit so the low end wont be so crappy after the headers are put in.
they also make improvements through the entire rpm range. They dont really generate more power but reduce the loss of power from the engine to the wheel.
The tough part is the Cams
There is a groupe buy for some hot Cams, Im not sure but they look expensive for the set (Arround 500$)
You can get blanks machened to the H9 (J-spec Cam) Cam specks
Or hope to find somebody with one selling them as Mazda doesnt make them anymore.
The MP3 ECU can be thrown in at any time and will be benificial, They are a b**** to find depending on whre you are.
This would be a start, and put you in the right direction, if your not satisfied up to this point, then Turbo would be the only way to go
If you like the launch har a stage 2 clutch might be in order, and if you putting that in there is no reason to not put in a Lightened flywheel.
there are alot of other things you can do along the way, this is pretty RAW
Remove the VITC and port polish the intake manifold (Hell I would sugest that too)
& ......Engine Management.