The SP reacted so well to the ECU upgrade because it already had a decent intake, exhaust and turbo. The SE has a crappy+restrictive intake, matched exhaust and tiny turbo - adding an ECU alone may net you an additional 10-15kw.
Most people wont recommend an ECU first because it's expensive compared to other options but, if you're a tinkerer who continually modifies their car, it's the best option since you can tune the car properly to handle each successive mod.
Improved breathing is one of the best mods you can do for your car performance-wise and is usually cheap.
The OEM "snorkel" is tiny and restricts the amount of air that the turbo can inhale which is why a CAI allows your car to make so much more power and should be your first mod. I've read quotes that people have dynoed their car just with an AEM intake and get 135rwkw. Based on my own experience, the PO had already installed a FM downpipe, when I installed my AEM CAI the difference in power was phenomenal and I don't doubt the 135rwkw claim based on the "butt dyno" and adrenalin rush. This mod produces the biggest power gain, the car remains driveable and will keep you happy for a while.
For optimum breathing, you will need to increase the size of your exhaust since with the CAI, the turbo will generate more exhaust gas which the OEM exhaust is no longer capable of exhausting properly. Upgrading to a 2.5" or 3" exhaust is therefore the 2nd step to improved breathing but you wont really notice the difference in power via the "butt dyno" (well I didn't) but the dyno revealed I now had 147rwkw.
Once you've upgraded your exhaust, and increased you boost to over 9.5psi, you'll discover that the car is no longer "factory smooth" and when boosting there will be a stutter between 4500rpm and 5000rpm before boost comes back on. This is a factory ECU issue, the ECU is running outside of its configured parameters and between these rpm ranges, it switches from closed to open loop and doesn't deliver enough fuel which is why you feel the "boost cut". FM have an O2 mod, see
http://www.flyinmiata.com/index.php?deptid=4536&parentid=0&stocknumber=07-46300, which helped me overcome this issue but some people report that it does nothing for them - I also had the Boost Cut Bypass mod (see
http://www.mazda-speed.com/forum2/index.php/topic,11873.0.html) so that probably helped too.
At this stage, you car WILL be running lean which is dangerous (I dynoed my car with these mods and that's exactly what I found, as was reported by others). To overcome this I upgraded to 305cc injectors since theoretically they would deliver more fuel. The car liked that a lot better but when cold it would "cough and fart" a bit until it warmed up, then it was fine.
After having a ride in MINX's car just after he had his Haltech installed, I realised how "far-from-smooth" my car really was and I installed the Adaptronic e440 which has almost restored me back to OEM "factory-smoothness" (still gets occasional hiccups).
The O2 mod and boost cut mods are only hacks to overcome the limitations of the factory ECU. Once you start modding your car to perform way beyond the ECU's configured limits, you will either need an aftermarket ECU or for a cheaper option, get your ECU reflashed/re-chipped by Chiptorque. Crapweasel has had his ECU reflashed after insalling an AEM CAI and 2.5" exhaust (still has the 265cc injectors I think) and is very happy with the result, it's pumping out 152rwkw. If you use the same modz as Crapweasel, you "should" just be able to get Chiptorque to use his settings on your car (every car is different so it may not be that simple).
The overall cheapest and most efficient option is to do your intake+exhaust modz, upgrade your injectors if you want more than 152rwkw, and get Chiptorque to reflash/re-chip your ECU (you should take your car to them so that they can get the tuning done right the first time - guys in the US do this via BEGi; they send them their ECU, it gets re-flashed/re-chipped and sent back to them. If it works great, otherwise they may need to send it back and forth a few times to get the tuning right because everyone's car is different and may have different modz - if you stick to Crapweasels's modz, you "should" be able to use his settings).
Aftermarket ECU's are the better option if you plan to continually upgrade your car or wish to use E85 down the track since a tuner can tune your car directly to accommodate each mod. The re-flash option is better if you just want to get the car to a certain level and keep it running there happily.
I suspect that most OEM SE owners would be happy with the CAI+Exhaust+Chiptorque reflash combination since that will yield ~152rwkw which is around the same value as most of us get on dynos here in Queensland with the OEM turbo.
