read cocky bell's turbo book, it explain everthing.
turbo is a air pump that push(force) air into the engine(induction).
you only can push out so much with a N/a motor but with a turbo, your motor gets much more air, now you need more fuel and timing/spark to make it run.
tunning makes alot of horsepower, I am not talking about those down the street bob's autoplace, I am talking about dyno tunning with fuel management computer and a/f ratio tunning.
another BIG issue you want to research is the internal, of the motor itself.
with boost, you probably want to get some forged piston with sleeve and waterjacket, etc, you might want to look for piston with a lower compression ratio to go with the turbo setup.
turbo is a cheaper way for speed vs. NA but it's not cheap at all.
i can give you a list of stuff you'll need
turbo(t3t04 or t25,etc)
downpipe(with o2 bung
high pressure fuel pump
SS oil supply line
SS oil return line with fitting in oil pan
intercooler(SMIC or FMIC, even water to air would do)
intercooler piping(bov fitting)
bov
wastegate(external or internal)
turbo manifold
all the gaskets
boost gauge
a/f gauge(better than nothing to say the least)
Map/Maf bypass(depends of which system from mazda)
FUEL MANAGEMENT UNIT(greddy, AEM EMS, APExi SAFC, etc)
FMU(not require if running a electronic fmu)
additional injectors(or bigger injector upgrade)
boost controller(optional but cool to have)
colder spark plugs(just in case they overheat)
edit: forgot a few things
fuel pressure regulator
Fuel pressure Gauge
