I've used K&N air filters in my last four new cars and never had a problem with oil affecting the MAF...I think that's merely a myth.
My experience has been a 2mpg improvement in gas mileage on every car I've used them on, that makes a huge different in the long run since I drive 100 miles/day!
In the CX-7 I noticed a new growl to the intake right away when installing the K&N and you can almost here the enging sucking in the air, it sounds awesome! Really a noticeable improvement over the stock filter. You will not notice any real hp gain but the gas mileage is reason enough to buy one.
I really want to use one of these but its not feasible now that we live in Vegas. It's so dusty here I'd have to pull the thing out every month and clean it. Easier just to drop a new paper filter in. Other then that, I've had these on every other car I have ever owned and currently own with no problems. I kept it on my Z b/c I never drive it here...too hot.
You can clean the K&N filter and it'll save you a ton of money in the dust of Las Vegas..
I had K&N's in my old 3 and 6 and didn't really notice any difference. The paper filters were so expensive that the K&N was only about $15 extra, so it was pretty much a no brainer.. BTW, every Mazda engine that I've seen so far uses a different air filter. I've had two 3's, a 6, CX-7, MX-5 and Tribute and all but the MX-5 and one 3 had the 2.3 liter engine and every air filter is different..