Maybe I'm mistaken, but I thought you could get the CD changer/MP3 player with any model you want as a dealer-installed accessory. Either way, you have to take whatever existing setup you have out. Kinda stinks if you already have the CD changer and paid for it.
As for us, we have no CD changer. We went the retro route and had a cassette player put in. Dealer looked at us funny, like we came straight out of the 1980s. Okay, so neither of us have bought a cassette since about 1989 or so, but it's nice to have, and it makes a great adapter for the iPod, precisely because the FM transmitter (which worked fine in our MPV)--to quote Mazda5wannabe--sucked.