The main issue, I think, is that Mazda's MZR starts off with a pretty hefty stock output that is close to or at the top of its class already, especially in terms of torque and flatness of the torque curve.
When you get to this stage of development when compared with earlier cars or less advanced design, it is a case of steadiliy diminishing returns for $$ spent or mods done. The best mod in $$/HP return has to be a new DP. Add a decent intake, preferably one that is fed via a decent TMIC or (better) FMIC and you've already done a lot for the car's output, with little or no risk. After that you can consider the rest of the exhaust and/or an ECU Flash or PNP Piggyback.
CP_e Standback & PNP; CP_e 3" SS Downpipe; Corksport FMIC with Top-mount K&N filter & OEM Ram CAI; Turbosmart BOV; Dashhawk; Prosport Boost Guage; JBR solid shift bushes; DBA 4000 Wiper-Slot front rotors; Hawk Ferro-Carbon HPS Street front brake pads (@ 69,000km); Sumitomo HTRZIII's in 225/45 x 18