MiataAndrew:
sway bar - Racing Beat hollow bar 1.125 inch
endlinks - mazdaspeed endlinks or for the best gear heads garage end links
Yeah, pretty much what he said.
Racing Beat hollow front swaybar - make sure the bushings don't bind, which they commonly do. You might need to shave a bit off the bottom of the bushings or use washers/spacers under the brackets.
Stock endlinks work okay, but shorter adjustable ones allow you to increase the swaybar to control arm clearance as well as eliminate any preload.
Heavy duty Mazdaspeed swaybar mounting brackets are good insurance since the stock ones can crack.
Shocks - Koni Sports are the bang-for-the-buck standard. I had mine revalved by Predator Motorsport since they needed a rebuild anyway and liked them a lot. There are other options too, like the more expensive double adjustable Konis, custom-valved Bilsteins, or Penskes.
Wheels - Volks or SSRs are super light and very expensive. For stock wheels, the R-pkg hollow spokes are light and pretty cheap. The '94 M-edition wheels are a hair lighter than those, but harder to find. The '93LE BBS wheels are even lighter, but tend to be rare and expensive. I think the Kosei K1-TS was another option for a light and cheap wheel, but you have to machine a little bit from the hub face to make the offset legal.
Tires - R-compound 225/50-14. They look ridiculous on a 6" rim, but they work. The Hoosier A6 and Kumho V710 are the top choices and are both available in that size. I preferred the feel of the Hoosiers -- more precise turn-in -- but the V710s seemed to have more ultimate grip in the sweepers and launched better. The V710s probably last longer, but for me either tire would heat cycle out before they corded.
Brake pads - using stock fronts and a more aggressive rear pad will help reduce front wheel lockup and help trail-braking. I used Axxis Ultimates in the rear, but there are lots of other options too.
Exhaust - you can save a little weight here. The Borla makes good power. The Enthuza also looks like a very good design. To save more weight you could even remove the rear muffler and replace it with a turn-down or straight pipe, which sounds like crap but saves weight.
Alignment - As much front camber as you can get, and a little front toe-out. You generally also want caster as high as you can get, but might be able to gain a bit of camber by giving up some caster, or you might want to adjust caster for feel and steering effort. On the non-power steering R-pkg cars, a lot of caster greatly increases steering effort. On the rear, some say to run 0.5 degrees more camber than the front and some say to run the same as the front. I think it depends on how much front camber you can get. On my '96R I could get -2 up front and I also ran -2 at the rear. On other Miatas that could only get about -1 up front I liked about -1.5 at the rear. I like rear toe at zero, but I tend to like a fairly loose setup. A little rear toe-in will make the car more stable and forgiving, but zero toe helps me get on the gas sooner in a turn without pushing wide.