Oil in/on air filter

This can't be good - I have a 2004 Mazda 6s with about 30,000 miles. I just had the oil changed at one of those quick change places and we noticed some oil on the air filter. I changed the air filter, and checked it about 1 week later, and there was a small amount of oil on it again. Of course I need to take it in. Any ideas of what might be happening?