I'd recomend upgrading the suspension first thing if i were you. Racing beat make an awesome set of swaybars for this car. Those alone will make the car more predictable and better performing on a track. However a nice set of springs and shocks will help too.
As for power adders, from what i understand the 2.3 I4 responds better to SRI's than CAI's. There are a couple of Header options out there, but ur not gonna see any major gains on this car without going turbo and as you are worried about the tranny, i'd stay away from that.
Another thing you can do is look into reduced weight parts. Find a set of light weight wheels, and maybe some pulleys.
There are only two other pieces of advice i have for you. 1) Don't skimp big-time on parts. If you are going to do this, you might as well do it right. Not saying that you need $1500 coilovers or anything like that, just that you get what you pay for. You can have Cheap, Fast, or Reliable and you're only allowed to pick 2. Cheap and fast won't be reliable, fast and reliable ain't gonna be cheap. 2) Research research research. Seriously, I don't want to hear you come back on here whining that you blew something up cause you bought this or that part, and didn't know what that part was even going to do or how well it was made. I've been looking at parts for my suspension and reading up on how everything works, what companies are reputable and what ones are just big names that make a crappy product for the past six months before i finally pulled the trigger on a set of springs and shocks.
I'm not trying to discourage you from modding, quite the contrary. This can be a fun and exciting hobby, just warning yo what can happen if you don't do it right. I'd also recommend expanding your sights to
www.6crew.com and
www.mazda6club.com as they both have a wealth of information on mods and parts as well. For buying pruposes both
www.therpmstore.com and
www.protegegarage.com are excellent sites that have wonderful customer service. Hope all this helps man! Happy modding!
-Cameron Keffer