Friendly BUMP for a good member's good car! Honestly presented as well! I don't need a 3rd Mazda in my driveway at this moment, but if I did, it would be this. The swiss army knife of cars...I miss mine sometimes still.
While I do not have any experience yet specific to the CX-5, The KYB will be tuned similar to stock ride, the Bilstein is more tuned towards the performance side.
There are also KONI adjustables available. Tire Rack has had a good sale on them recently...
Just as a little correction there, the first gen CX-5 actually weighs about 3200 to 3500 pounds . The 2nd gen weighs in 3500 to 3800 lbs. The number you're referring to is the maximum capacity fully loaded listed in the door jamb GVWR