1. You can lose a noticeable amount of weight with the right set of wheels...you just aren't going to find them through Mazda. You just have to be careful of offset with this car since we have such a strange one (60mm) stock.
2. In a word, yes.
3. I'm not a sound guy, so can't really help you here. However I've always been satisfied with my stock bose setup.
4. For CB exhaust, go with Magnaflow. It's not that loud, nice and throaty, and adds a bit of power (don't expect anything more than 5hp though).
5. A full writeup on the mods available for the 4cyl can be read
here,here,and
here. Other than what is covered there there is always the turbo route.
Also, with a little suspension work, these cars can be a scream in the twisties. I hope my info helps, and I hope you enjoy your 6!