Well, I wanted to replace my low-beams with a set of those "cool blue" bulbs....
So I went to sylvania.com and used their lighting selector to find this. I do NOT have the HID lights.
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2004 MAZDA 3 w/Composite

Low beam headlamp
H7
H7ST Silverstar High Performance Halogen Upgrade: The Look of HID: Whitest, Brightest
H7CB Cool Blue Halogen Upgrade: White Hot; Super Cool; 100% Street Legal
H7LL Long Life Halogen: Lasts two and a half times longer

High beam headlamp
9005
9005ST Silverstar High Performance Halogen Upgrade: The Look of HID: Whitest, Brightest
9005CB Cool Blue Halogen Upgrade: White Hot; Super Cool;
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So I picked up some H7CB bulbs but they are not even close to matching the bulbs in my car. the shape, size, and connector are allk different. Any ideas?

 

Go look on Ebay under Mazda 3 and they got a whole set of 3 lights including, High beams, low beams, and fog lights made specific for Mazda3's with Composite headlights for under $55 total. If you can't find it right away just keep looking everyday

 

The bulbs fit.
Look closely at the bulbs that you took out of the car(the OEM ones). They have a little brown colored adapter attached to them. Take the adapter off (just pull on it, it'll unplug)and stick it on your new bulbs, then they should go in no problem.

lol, the first time I changed my bulbs, I thought the guy at Kragen gave me the wrong part!.

EDIT: oops. This is the deal on a Protege5. Maybe it's the same issue for a 3.

 

Thanks. I actually figured this out already. thre IS an adaptor on the bulbs. The H7 is correct.