you'll get info on hp gains. It should help you make a better decision.
It also depends on which 6 you have. Is it a 4cyl or a 6cyl? If you have the 4, a CAI doesn't make as much an impact on performance as it does on the 6cyl. I have a 4cyl so I opted for the Mazdaspeed CAI. If I had a 6cyl, I probably would have gone a different route. If you're that concerned with your purchase, return it and read up on it to make a better purchase. imho, I would return it.
You still haven't answered whether you have a 4 or 6. If you have a 4, you're wasting money on an exhaust if you're doing it for hp gains. If you have a 6, there are plenty of options, including tuneable intakes (which you should definitely consider if you have a 6cyl). If you have a 4, just get a Mazdaspeed CAI.
HP gain claims are usually crap. Dyno numbers (like the ones on the thread I provided) are real. The K&N is at the bottom. That should help in your decision.
I bought mine from a board sponsor, JimClickMazdaParts.com during a group buy for a little over $200. There are other board sponsors as well (listed under the Premier Sponsors section of the forum). I think there's a group buy (or was) for them recently. Send an pm to Revenant (moderates the JimClickMazda site) about it.