Some of my Favorites:
Its Not easy to find performance parts for the MX6 but I have searched far and wide and come up with a few of my favorite sites to find performance and styling parts. Many of which I have ordered myself.

I have more links coming but these will bring you directly to the MX6 portion of the site.

Performance Parts:
Hotshot Performance Really Nice Headers and one of the best cold air intakes for the MX6
RR-Racing.com New Site I heard about, Lot of popular parts for MX6 and Probe.
Ptuning.com Good site, never used them, Lots of Turbo Accesories
SPmotorsports.com Really great company to deal with ordered several parts from here

More Favorite Links:
Mazdaspeed.com Hope you know the Yen to Dollars Conversion !
Erebuni Styling Best quality bodykits in the business...Plus they have my Shogun kit !
Corksport.com They are not cheap and their are not many pics but I have heard many good things about their serious performance parts !
Gaugepods.com Really Nice Pillar for the MX6. Definately ordering soon...Only 45 Bucks !!
NOPI Online catalog Everyone knows NOPI's extensive selection.
PRM Intakes Jet Stream Intake...The Theory Is good...
Pacesetter Headers Inexpensive, Impressive Power Gain...Difficult to install, Poor Fit...Get them done Right..I learned the hard way.
Procarparts.com Accesories...Those Must Have Clear Bumper Lenses and cool Indiglo Gauges.
Illicit Racing Bodykits Never dealt with them, not sure of quality, but 3 nice MX6 Kits and great prices.