I had a 2000 ZX3. Despite all the first year recalls it was a great car. I had some decent gains with a FocusSport 4-1 race header, 2.5" exhaust, and a conical air filter. I think it dyno'd around 124 fwhp...not bad for so little invested.
Some people swear by the AEM cold air intake. Personally I don't think any of those are worth the risk of sucking up a gallon of Tampa's finest during a summer rain storm.
You don't even need to pay for a filter on a stick. If you remove the mass air meter from the air box, you can put a K&N cone filter right on the end of the MAF (I don't know the size off hand, but if you bring the MAF with you to a place like Automotive Engineering they will be able to help you find a size that works). Keep the stock rubber/plastic elbow as it is engineered better than the $50 Ebay intake.
I threw on a K&N conical and left the bottom portion of the air box in the car so some cool air could still get to the filter. Worked out nicely and didn't cost me more than $40.
FYI - unless things have changed, the EBAY Focus intakes are complete shit. They were built out of crap materials, the filters were shit, and they didn't even fit correctly.