Stick with the SVT header, aftermarket headers aren't worth the negligible gains.
+1 on the tune. Probably the best upgrade you can do, and if you go with Tom you get free NA updates for life.
- Short throw shifter. You'll love it.
- Exhaust. Mainly a sound upgrade, but well worth it.
- ORP or HFC depending on how loud you want to go or what the authorities have to say in your area.
Mine: 2006 Mazda3 s GT Hatch: 111k, Gray, Manual
Gone: 2002 SVT, #1654
Hers: 2010 Focus SES: 84k, Ebony, Auto, Moon and Tune