I usually go for 5000 in my wife's cars (mostly driven around town, including the CX-9). When I do mostly highway miles in my car (not the CX-9), the car computer calculates about 7500-8000 per oil change. 3000 is excessive these days, in my opinion. Waste of money and oil to dispose of.
I just got our CX9 2 days ago. I plan to do an oil change by 1K, then at 3K and every 3K thereafter. It would not hurt to do it and only costs $30 every 3 months. I will be using Castrol Syntec.
Today's engines are built with very fine tolerances, and are not the engines of yesteryear that required a serious break in period and the discovery of fine metal shavings on the first oil change. That, combined with the advancement in oils and oil filters over the last 30 years, makes the 3K oil changes obsolete. You can easily go 5K between changes without any problems.
Follow the manual and Mazda will have a more difficult time denying warranty related engine issues. I follow the manufacturer's service intervals until the vehicle is out of warranty, then I do my own thing.
The 5k interval makes sense as the new Ford vehicles (e.g., Edge, Taurus, MKZ, etc.) use the new 3.5 engine and that's the recommended interval for those vehicles as well.
I did my first oil change this last weekend. I don't know if the filters are all this way but, apparently, the filter gorillia was working the day my engine was built. The filter was on so tight I had to go to NAPA to get a special 3 jaw filter removal tool to get it off. A slick little device that grabs the filter tighter the harder you pull on the wratchet handle. It worked. But I had to crank on the filter so hard the clamping jaws deformed the filter's case.
The filter is only supposed to be tightened 3/4 of a turn after the gasket makes contact with the base and mine was easily 1 and 1/2 turns - WAY to tight.
Other than that the oil change was easy to do with the vehicle on the ground - no ramps needed.