Most of the Ebay stuff does not fit well and sometimes requires custom "work" to fit.
The SVT header, CAT, and flex provide the highest gains possible and usually can find on the For Sale section for not to much. Trubendz makes good fitting exhaust (some people have noted problems with going with their 3" kit) you can get a 2.5" exhaust from them for a few hundred and have different muffler and material options.
The SVT header does require the SCT CAT, Flex, Oil Dipstick, and possibly a power steering line if you dont want to bend it out of the way. But will get you the best power gains.
The "Best" exhaust system is the FSwerks stealth system. will stay quite unless your on the gas hard. so no highway drone and you also still see a gain in performance and is high build quality.
Only time you have to worry about ZX3 or ZX5 is for the exhaust. I think the ZX5 is the same length as the sedan (the ZX3 might have the same wheel base also... cant recall). Will want to have another confirmation.
2001 ZX3 2.0L Zetec-
Hatch Nation #42
Going through Rebuild See "The TICK Build Thread" for details (http://www.focusfanatics.com/forum/showthread.php?t=289168&referrerid=62897)