The CX/VX transmission will fit and work and all that good stuff, the gearing is very nice, so yeah, go for it. Where do you live? If you're not in a hurry I have a CX tranny kicking around in my basement I could send out to you when I go home for winter break.
I would guess the HX/VX would show similar improvement. With the HX you would stay OBDII though, and wouldn't need to worry about passing emissions (In my county they get pissy about that). The CX would be a good option if you just want a straight swap, but I wouldn't expect a large improvement.
The tranny would probably be your biggest improvement. And maybe a set of HX wheels (won't do too much, but I like pushing HX/VX wheels).
__________________ w00t, finally above the EPA rating!