Lots of discussion on this. I posted my experiences in earlier threads (here's one:
http://forum.mazda6club.com/index.php?showtopic=62949 )
but here's a summary (I have an '06 MazdaSpeed6 that came with Bose stock):
1. Replaced front door components with Infinity 6010CS. 6.5" woofers are direct bolt-in (into special holders that are weird shaped). I wrapped the external crossover boxes in plastic (and sealed edges with electrical tape) and velcro'd plus duct taped to inside of door shell below woofers.
Took out stock tweeters, removed plastic trim and grilles on Infinity tweeters and they fit into stock holders without having to modify holders. Stock clamp holds tweeter in but used a chunk of foam just in case they come loose and rattle.
2. Replaced rear door speakers (they're 5.25" speakers in 5x7 adapter plates) with 6x8/5x7 compatible Infinity 6810cf (two way coaxial). No external crossover so basically direct bolt in.
I didn't use any wiring adapters but instead did "western union" splices into existing wiring. Exception was front tweeters, where I ran new wires so as not to cut stock harness, in case I ever wanted to go back.
Everything else was left stock, including rear Bose sub (with built in amp). I didn't want a big sub box in the trunk so I wanted to see how it sounded first with my first mods. I'm not a bass junkie (I usually prefer good, natural acoustic tunes vs electronic, mangled and mushed up tunes) but if it wasn't enough then I was going to swap out the Bose sub for a 8" or 10" deck mounted sub with aftermarket amp.
Note 1: the Bose sub is 9" in diameter, so any aftermarket sub will require modification and adapters to fit into the opening.
Note 2: the trim cover over the Bose sub cannot be removed from above, even though it looks like it might be able to taken off. It's attached to the deck trim cover from below by screws. The whole rear deck trim piece has to be taken off to access the sub.
Note 3: the door panels come off relatively easily (fairly well detailed and discussed in this and the Interior Mods forum) but I had problems with the power window switch connectors, especially the driver's side.
In addition to the speakers I put RAAMmat and acoustic foam to the inside of all 4 door outer skins (I will do the rear deck and trunk at a later date). The RAAMmatting was a lot of work, as it requires the complete disassembly of the inner door skin panel including the latch mechanisms and power window motor.
The RAAMmat made quite a significant improvement in cleaning up the overall sound (less resonance, cleaner and crisper sound, much tighter bass) and together with the Infinitys made a very significant overall improvement. I'm happy enough with the sound quality now that I'm not doing any more changes, only RAAMatting and acoustic foam to the rear deck and trunk.
The Infinitys I chose are from the Reference Series, which are 4 ohm speakers. Yes, the Bose system (at least the 4 ch amp and 4 door speakers) are 2 ohm, and some people may tell you that using 4 ohm speakers will sound terrible. Not necessarily true. For further explanations on how impedance, sensitivity and overall sound pressure levels are related see link above.
With the Infinity Reference I'm typically listening at a volume setting of 18-20 on the HU, whereas with the stock speakers, with the same music, the setting would have been 14-15. So, the Reference series are less efficient, but with a theoretical max setting of 32 on the HU I'm still not maxing out the system. If you want LOUD, then you would have to replace the amp.
Why did I choose the Reference series, where Infinity makes a 2 ohm series of speakers, the Kappa (60.7cs and 682.7cf would the equivalent models)? Because I prefer the soft dome (silk) tweeter used in the Reference series to the metal matrix tweeter in the Kappa series. Personally I find the silk dome tweeters smoother and not as harsh as the metal dome tweeters. This is a personal thing.
If you want max bang for the buck, and don't mind a bit more "zing" with your highs, go with the Kappas. You can get both sets for less than $300US, and install is pretty straight forward with no cutting or modification. The Kappas are 2dB more efficient than the References (due to the more powerful neodymium magnets used in that series) so would be closer in efficiency to the stock speakers (ie. volume setting on the HU would be closer to the stock speakers than with the Reference series I used). The sound deadening cost about $100 in materials, and 6-8hrs per door of labor (it's a lot of work).
One other point, and this is a pet peeve of mine. Power rating, power draw, etc, etc, is not directly correlated to how loud a speaker will play. A speaker rated to handle 100Wrms will not automatically play louder than a speaker rated at 50W. How loud a speaker will play is based on it's Sensitivity rating. The power rating only gives a rough idea how much heat (as in dissipated power) the parts in the speaker can handle before something fails.
Keep in mind these are my experiences, set up according to my listening tastes. If you like LOUD, and want to impress your friends, you won't do it with the stock amp. Period. But if you don't want to do a lot of modification, you can still get good sound by swapping out the stock door speakers and deadening the doors.