Replacing the Miata header is a good starting point since the 99-00 factory cast exhaust header is less than desirable. With just a header and cat back Miata exhaust system it is not uncommon for a 99-00 to dyno 120-125 rwhp, while stock numbers are 109-114.
A good cat back exhaust system works the same wonders on a M2 as it does on the M1, but unlike the M1 which has a restrictive air intake system the M2 is actually quite good. Gains for a Miata air intake system on a M2 are minimal. Just like the M1, setting the ignition timing a few degrees advanced still works wonders. The issue is that the procedure requires drilling to make the crank sensor adjustable which can be intimidating.
The 99-00 already has a better intake manifold, better intake plumbing with a less restrictive MAF, solid lifters, higher CR pistons, strong EX cam and better ECU tuning (w/ knock sensor) then the first generation Miatas. Check the solid lifter cold lash to make sure it not loose. Set it to the minimum factory spec and you could gain a few HP from the additional lift. It is my belief that a boosted motor is much more cost effective in the long run for a good HP/dollar ratio.
Improving HP with a Miata 90-97 engine beyond the 140 crank HP level using a normally aspirated route can be very expensive because now expensive things need to be replaced since they will need to perform past the operating window that Mazda set for them. When talking about max hp on a Miata production based engine, engineering (head design), machining tolerances and physics limits come into the equation.
Having a motor that is "streetable" is just as important as max power in my book. That means brakes are not affected by less available vacuum and will not require a rebuild for at least 50K street miles. Also, your wife (or husband) will drive it without complaint.
A primary characteristic of a "streetable" motor is having good power and torque below peak rpm. A Miata 1.8 motor in a "streetable" state of tune can achieve 180-200 crank hp, which falls into the generally accepted 100-110 hp per liter rule of thumb (crank) for a non-VTEC DOHC production based street motor. At a minimum, this level of HP requires the enhancements of a programmable ECU, Miata aftermarket camshafts, and an increase in the compression ratio.
A programmable Miata ECU is needed to recognize and optimize the fuel and spark for the new level of airflow. In addition to adjusting for more fuel and air, the fuel ratio settings need to be tuned a little more rich below 4500 rpm and leaner after 6000 rpm. This enhancement is impossible to do with standard fuel pressure regulators or larger injectors without affecting the other end of the rpm scale. The timing also needs more advance below 5000 but the 6000 and over timing is about right (which leads to the compromise but free 14 before mod above). The programmable ECU lets you do all of this without compromise and you can also adjust for each individual motor as all are slightly different.