I did some research into this awhile ago. You have 2 real choices.
(don't quote me on any of this it's my memory talking =)
1. AWR headers will give you a performance gain of about 10hp but they will force you to ditch the primary cat and rewire the o2 sensors and such. They are 4-2-1 style and are pretty beefy =)
2. Traveler's Header is a shorty style header that will not force you to ditch any cats and it has an o2 sensor bung on it. Performance gains are 5-8hp supposedly. An easier install but lesser performance (but oh do they look hot).
Search around in the performance section, tons of header discussions occur.
You can also get the MX-6 headers which are about half the price of both of these and take them to a competent muffler shop and have them move the EGR pipe up to the position on our cars
There is also the RacingMazda group buy for $320. Ric is modifying his MX-6 header to fit out EGR and will go for $350 regular ($320 group buy). This should give the same (9-11whp). This is what I'm looking at when I get the funds!
isnt the EGR just the bung for the O2 sensor? if so you could just take it to a weld shop, have them hack off and close up that bung, and weld on another bung for the 02 sensor...does the racing mazda mx6 header eliminate the cat also? if so, you could get it the way it is, and pay about 30 bucks shipped for the 02 sensor fix from apex motorsports AND theyll send a bung...let me know, i might change my mind on the overpriced (but only available) AWR headers
i can talk to my exchange students from japan about headers and see which are the best for our cars. 2 of them own the Sport 20 which is basically the mp5 with the FS-ZE motor. also, i'm curious about the mazdaspeed headers.....