I recommend Koni FSD. Better handling, same ride quality as OEM, and much more durable. Smooth with normal driving and stiffens up in the corners. My set have been on two different 3's for a total of at least 140k miles and still rides like it did brand new. THmotorsports is a good place to get them:

http://thmotorsports.com/koni/koni-fsd-shock-kit/21004040/i-104508.aspx

You might be able to get a better price if you post in the forums like this one:

http://www.mazda3forums.com/showthread.php?t=500017

Don't know how good this place is but it's a little cheaper here:

http://sohiperformance.com/mazda-3-2004-2009-koni-fsd-shock-kit-2100-4040/i-104508.aspx

Becareful with Bilstein shocks/struts like the HD and Sport, they are significantly stiffer than stock. Our 3's already are already on the firm side to varying degrees, depending on equipment/engine. My mom has them on her Mercedes-Benz SLK320 and they just ruined the ride quailty (so noisy and rough that you want to drive slower). Bilstein has this Touring Class set available but I haven't really heard too much about them. Don't get KYB unless you're going to sell the car; seen too many forum posts about how they don't last. Don't recommend coilovers as there are too many that are of questionable quality even though they cost significantly more than a good set of shocks/struts, and automatically lowers your car which opens up a can of worms.

For brake upgrades, I recommend going the OEM big brake kit route. The most compatability - will fit 16 inch OEM wheels + spare, most options (hundreds of brake pad compounds), and proven street performance. In parts it'll cost ~$900 which covers front + rear and includes fluids + lines. See this thread:

http://www.mazda3forums.com/showthread.php?t=373934

I also recommend better ("max performance" summer) tires to take advantage of better handling and braking, should you go this route. For me the OEM BBK was the best mod for my 3, and wish it was a factory option.