Well, they are all similar.
The mp3 as I'm sure you're aware is an audio file. The Mazda 3 can play these files through it's stereo system by means of an mp3 player (ipod) via the auxillary jack located in the center console. You can also burn a data CD with mp3's and insert it into the Mazda's CD player.
The advantage of using an mp3 cd is that if you burn them as data, then you can fit 700mb worth of files on to the CD, and the Mazda 3 will be able to play them back because it automatically decodes mp3's.
If you want to burn a regular audio CD, you are limited to time in this case, of generally around 80 minutes of music. The advantage would be if you had higher quality wav files, the audio would be of higher quality. However, you would only want to do this if the source files were wav, converting an mp3 into a wav does not increase the quality.
The advantage of using an mp3 player (ipod) through auxillary jack over CD's, is you can fit nearly your entire music collection on the device (depending on how much music you have, and how large of storage your mp3 player has).
However the disadvantages of using the auxillary jack with your mp3 player are; does not let the Mazda 3 view the ID3 tags (the mini file within an mp3 file that contains meta-data, such as artist, track name, album info, etc), and you cannot control track changing with the car's controls.
If you use an mp3 CD, then the Mazda 3 can read the ID3 tags and display the meta-data on your display, and will also give you full control over track controls using the Mazda 3.
There is an adapter specifically built for ipod that will let you access it through the Mazda 3's controls though, but it doesn't work with most other mp3 players (I have an Archos player). I would link to it, but the official Mazda accessory site seems to be incapacitated currently.
