Search the forum for a compressor how-to, and search for Phil's AC Hell Thread for info about condenser and expansion valve. I've been through all this, so let me know if I can lend some advice.Update at 103K:
Had my first reliability issue involving a bad AC compressor. Apparently this is a common problem as Panasonic makes the compressor for the MS3/MS6. According to several folks, they generally only last 6 yrs/60K. A replacement through Mazda wholesale costs roughly $1500 which includes the compressor, clutch, coil, drier, expansion valve, and serpentine belt. Knowing I'm going to drive another 100K, I'm ruling out going with a used one.
2009 MAZDA 3 Parts - Online Mazda Parts
Now for the good news. A quick search netted me a company based in San Diego called Discount AC Parts. They've been around since '88 and have a fairly good track record for the volume they provide. A replacement kit costs $430 which includes the genuine Panasonic compressor/clutch/coil assembly, drier and expansion valve.
New Genuine A C AC Compressor Kit for Mazda 3 5 06 09 | eBay
For the price I am willing to risk the installation to see how this pans out. Total cost should be roughly $700 installed. I will update in a couple of weeks.