I'd skip past the rear engine mount insert and get a whole new upgraded rear engine mount. I have a CP-E 75-durometer rear engine mount on my '07 MS3 and it does a great job of holding the engine in place, with only slight vibrations when the A/C kicks in while at a stop. It takes some of the slop out of the shifter and reduces wheel hop somewhat.
+1 for upgraded struts, though I've heard the stock 2nd gen. MS3 struts are much less floaty than the 1st gen. struts.
An intake will net anywhere from 7-10hp (yes, they are that choked from the factory) and gets you a nifty "pssshhhttt" sound from the BPV. I'd go with a SRI since I've heard horror stories about CAI-equipped MS3s sucking in water through the low-mounted filter. I think the Mazdaspeed intakes can be configured as a CAI or a SRI, while Corksport, CP-E, and Cobb all make SRIs.
Finally, when the warranty period is over, get an oil catch can, esp. if you start doing serious racing. The PCV system lets a lot of gunky blow-by into the intake manifold on these engines and Mazda hasn't addressed this yet.