There are a number of simple modifications that can be made to this car to enhance its performance.

Engine
Synthetic Engine Oil :- The V6 in these cars benefits greatly from the tighter tolerances of synthetic oil. I personally use Mobil 1 5w50 and found an immediate improvement in my engine. It has more to do the hydraulic lash adjusters and the noise that they can create if the oil is old, but the engine just seemed a lot smoother. Try to change your oil every 5000kms.
Phenolic Spaces :- These are insulating spacers inserted between the cylinder head and the inlet manifold. They reduce the temperature of the inlet manifold by a significant amount Sean Morgan is the master of these and you can find more info at http://home.san.rr.com/scmorgan/spacers/
KL-ZE :- This is no longer the mythical beast it once was. The Japanese version of the MX6 engine was endowed with 150kw and 225Nm. This is a complete engine swap so should not be taken lightly. Most resources on the Net state that it takes about 3-4 days for the home mechanic to complete. The engines are sourced from wrecked Japanese vehicles and usually have between 50,000-100,000km on the odometer. You need to also have the ECU from the vehicle as the software controls are slightly different.
General :- I was told by a wise mechanic that nothing seems to go wrong with these cars if you follow the following simple procedures. Change the engine oil every 5000kms or 6 months which ever comes first. Change all other fluids every 2 years or 20,000kms (ie Brake, Transmission, Coolant etc). Spark Plugs and Air Filter every year or 10,000kms.

Intake
There are a number of modifications that can be made to the air intake tract of an EFI car, the simplest is the air filter. But what a lot of people don't realise is that changing an air filter can cause power degradation not enhancement, if not done correctly. The key is air temperature, the colder air, the better the charge. Most rampod style air filter suck air at under bonnet temperatures, which are normally in the 60 degrees Celsius range when the ambient outside temperature is about 25 degrees. This increase in intake temperature destroy any boast in air flow.

What needs to be done is to take the air from the front of the car, or underneath the car. This will ensure that the air temperature is as close to ambient as possible, therefore making the most of the incease in air flow.

The cost of an upgraded intake system is approx $300-$500. 1-5hp

Do not just disconnect the air duct at the front of the car that runs from above the radiator to the airbox. Although this simple modification give the engine a sweet note under acceleration, the air temp that it is breathing would be close to 75 degrees Celsius and hence a decease in power.

I am currently working out how to improve the standard airbox. When I complete this modification I will post details and materials. (expected cost $50-100)

ECU
There are many aftermarket vendors of upgraded CPUs for this car. Most claim about 10% improvement in power and torque. Some though require intake and exhaust mods to come close to this figure. The best I have seen comes from www.powerchip.com.au.

Their chip upgrade costs $650 and takes about an hour to install.

I have been reading a lot about ECU upgrades recently and are starting to question the necessity for such modifications.

Exhaust
The key to power in the exhaust is back pressure, the less of it the better.

Rear Muffler - This is the easiest thing and cheapest thing to replace. $150-$500 1-2hp

Cat Back Systems - This is the most common system, and requires replacing your standard exhaust from the Catalytic converter back towards the rear muffler. The diameter needed would be 2.5inch. A high flow catalytic converter is a must, without this modification the rest of the system is almost pointless.

Press Bend or Mandrel Bend.
Press bend is the cheapest alternative, its main problem is that wherever the pipe is bent causes a restriction in airflow. This can be over come to some extent by using a larger pipe. Including rear muffler approx $500-$800 3-6hp

Mandrel Bend costs considerably more, this is because the of the special pipe bending needed. Mandrel bent keeps constant diameters throughout the exhaust.
Including Rear muffler $1000-$1500.3-6hp

Extractors - Extractors are the most efficient method of remove exhaust gas from the engine. This combined with a hi-flow catalytic converter and large diameter exhaust is the best you can do. It will set you back $2000-$2500. Up to 15hp

I have been talking to exhaust shops about the need for extractors/headers on the MX-6. The best news I got was from the header manufacturer who said they didn't make one for the MX-6 as the exhaust system is already balanced and wouldn't provide noticeable improvement.

Suspension
The suspension set up on the MX-6 is quite good from the factory, but from what I have read it suffers in 2 areas, body rigidity and body roll.

Body rigidity:- This can be enhanced through the use of strut tower braces. The rear should be your first choice then the front (as the engine provides significant support). These will cost between $200-300.

Body Roll:- This can be lessened through the use of larger stabiliser bars, again the rear should be upgraded before the front. This will dramatically improve turn in and general handling.