Synthetic FTW! I hoestly think it's foolish to run anything else, unless you have a rotary engine in your car. From an engineering/scientific point of view, there is no reason not to. If the dealer tells you not to they are full of s***. I have had several cars reach well over 200k miles. All were run on synthetic. When the cars died it wasn't because the engine gave out, it was everything else on the car.
I use 5w-30. That is what weight the manual says. No real reason to think we can outsmart Mazdas engineering dept by coming up with something better. They spend alot of money looking into this. With synthetic you should be fine in pretty much any situation. On a molecular level it wont break down in intense heat like regular oil and in the cold it wont gue up as much.
I personally use Mobil1. It may not be the BEST oil out there but it certainly is a one of the better ones. I wouldn't waste your time worrying too much about exactly which oil you pick. As long as you go with something that isnt crap. Its more important that you change at the propper intervals then get the best of the best of the best. Currently I am changing ever 4500 to 5000 miles.
Penzoil platnum I just used for the first time, and everything seems good. I changed brands breifly because the M1 5w-30 has been hard to find due to an accident at one of Mobil's refineries. (only two quarts in all of worcester when i changed my oil last time) Hopefully by my next change that will be fixxed. The nice thing about the M1 and PP is they are quality iouls you can find almost anywhere. You can get a 5 quart jug of either at wally world for about $25.00 Autozone near me wants $30 for a 4 qt jug. Your car will take 6 qts to fill.
One more thing, its not a great idea to switch back and forth between synthetic and convetional. Try to pick one and stay with it.
-Pete