I have used Pennzoil Platinum in my '08 Speed 3 since new and now, at 31,000 miles I have to say it is a very good oil for this engine. Being HTO-06 approved pretty much guarantees that it is up to the lubrication challenges of this blown direct inj engine.
I just changed oil this weekend and a peek inside the valve cover shows a superbly clean engine. Never any consumption over 4500 mile OCI's.
Although you may hear the "zoom, zoom, boom" talk on the various message boards, those are usually highly modified cars, that have had Mazda's ECU safety net removed. I have zero mods and no problems, ever.
Only one to remember - never lug the engine in a Speed 3; they still develop boost at low RPM's and that does stress the connecting rods somewhat. Just keep the engine singing and enjoy your car.
Cheers!