the problem is there is no best when it comes to after market, if you have a half-assed install it will sound bad, if you properly design an audio system it will sound infinitely better. we would need to know more what your music tastes are, budget, how much space your willing to give up to give you recommendations for an upgrade.
as for why mazda only gives two stereo options, it depends on who they have agreements with. bose has agreements with a number of companies to provide premium audio systems, and they usually aren't too much of an upgrade from the base audio systems, they'll have an external amp and usually a small subwoofer. other stereo companies have agreements with other manufacturers. Harmon Kardon with BMW, Mark Levinson with Lexus, RF with Nissan.
if you are looking for a quick sound upgrade you could probably do a simple 5 channel amp and single subwoofer, the downside is that there is no dash kit available for the 06's yet, so you will need LOC's or wait until the dash kit is available