Use the Mazda filters until you
know the aftermarket ones are ok -- they are different internally (specifically, the bypass valve setting and, allegedly, the flow characteristics.) Yes, getting this wrong can matter (a lot.) The factory filters are reasonable in price and my local stealer has thus far always had a "buy 3, get 4" deal which makes it even more reasonable. There is no economy in using an aftermarket filter and I've got a number of UOAs in hand that say the stock filter works well.
As for oil I have run Pennzoil 0w20 since the first change from the factory fill and have seen no difference in fuel economy from the first tank onward, and I've got 30k on the clock now. I do all my own work on my vehicle.
Here's my fuelly profile from literally the first tank.
Mazda 6 Sport MT (Mazda 6) | Fuelly
The only thing that changes my economy is my drive cycle; there are differences month-to-month, but I can identify exactly why, and as you can see there is no long-term trend in any particular direction. It's been a remarkably consistent vehicle in that regard. The high points (monthly averages) have all been during months where I've done an above-normal amount of long-distance highway driving; the low points where there has been little or none.
Yes, I drive a
lot.