If you have more questions please just ask them in the same thread. No need for three of them.
Here's a quick breakdown of the options available for you. If I've forgotten anything please let me know.
PIE- Line in only. Provides RCA inputs through the sirius/CD changer jack on the back of the HU. ~$120
http://www.discountcarstereo.com/detail.aspx?ID=445 (you also need the ALP/M RCA connector)
http://www.discountcarstereo.com/detail.aspx?ID=124
Aux Mod Basic- Line in only. Provides 3.5mm input through the Tape/MD jack. ~$55
http://www.sylfex.com/products/AuxMod/
Audio Link/NASmusic- Full Integration with steering wheel controls. Provides a line in plus either a ipod dock connector
or a USB plug, and charges the ipod. Connects through the sirius/CD changer jack on the back of the HU. ~$140
http://www.therpmstore.com/index.php?cPath=25&osCsid=7f41ac4e2a7de998d16603e6fb416b97
Aux Mod Advanced- Not yet released will give full ipod integration with steering wheel controls. Provides a line 3.5mm line in with connections to a dock connector. Should also integrate with WinAmp. connects through the Tape/MD jack on the bottom of the HU. ~$150
http://www.sylfex.com/products/AuxMod/
Neo Ion- Full ipod integration with steering wheel controls. Connects to ipod with dock connector, and into the sirius/CD changer jack on the back of the HU. Charges the ipod. ~$220
http://www.mp3yourcar.com/productdetails.asp?type=FACTORY&make=Mazda&model=3&carYear=2005&productID=617
Here's a thread with links to pretty much all of those, and links to discussions about them.
http://www.mazda3forums.com/index.php?topic=35009.msg498701#msg498701