In March of 2002 i bought my brand new 2001 Mazda which sat on the lot for about 11 months. I changed my oil at 1000 miles (and it was hard for me to let it go that long).
84,000 miles later i still think i made the right choice.
My previous car was a 1989 VW Jetta that i bought brand new in '89. It wasn't on the dealers lot long at all, and had i think 21 miles on it. I changed the oil the first week. 225,000 hard driven, frequently red-lined (what can i say, i was young), 100% dino oil driven trouble free miles later, i still think i made the right choice.
Whatever oil you choose, i'm sure your Mazda engine will last a very long time. However the inexpensive Motorcraft oil is hard to beat for the price.
Good luck on the new Mazda!