The 07+ have the clear lens and any year will fit any year. Just make sure they are for your sedan.

Hatch tails will not fit.

 

here's a guide on how to replace the lights...the hardest part of doing this is actually getting that big plastic piece off of the trunk...such a pain in the ass, but once you get past that it's pretty easy
http://www.mazda3forums.com/index.php?topic=112797.0

as far as which tail lights you want to get, you can either go w/ the...

OEM sporty type w/ the amber signal lamps - http://cgi.ebay.com/ebaymotors/Mazda3-Sporty-Rear-Lamp-4D-Sedan-Tail-Light-Mazda-3-OEM_W0QQcmdZViewItemQQ_trkparmsZQ7c301Q3a0Q7c293Q3a1Q7c294Q3a30QQ_trksidZp4634Q2ec0Q2em14Q2el1262QQhashZitem2c4ce49217QQitemZ190268609047QQptZMotorsQ5fCarQ5fTruckQ5fPartsQ5fAccessories

or

OEM sporty type w/ clear signal lamps - http://cgi.ebay.com/ebaymotors/M45-03-Mazda3-Sporty-Clear-OEM-lamp-4D-sedan-tail-light_W0QQcmdZViewItemQQ_trkparmsZQ7c301Q3a0Q7c293Q3a1Q7c294Q3a30QQ_trksidZp4634Q2ec0Q2em14Q2el1262QQhashZitem2c4ce49022QQitemZ190268608546QQptZMotorsQ5fCarQ5fTruckQ5fPartsQ5fAccessories

or

OEM LED tail lights - http://cgi.ebay.com/ebaymotors/M44-03-Mazda3-LED-REAR-TAIL-LAMP-LAMPS-MAZDA-3-LIGHTS_W0QQcmdZViewItemQQ_trkparmsZQ7c301Q3a0Q7c293Q3a1Q7c294Q3a30QQ_trksidZp4634Q2ec0Q2em14Q2el1262QQhashZitem518557431aQQitemZ350129439514QQptZMotorsQ5fCarQ5fTruckQ5fPartsQ5fAccessories

or

some kind of aftermarket LED tail light

also, here are the reverse lights that are apart of the trunk - http://cgi.ebay.com/M42-3-Mazda3-Japanese-Clear-Tail-Fog-Lamp-Mazda-3-Axela_W0QQitemZ190258355969QQcmdZViewItemQQptZUK_CarsParts_Vehicles_CarParts_SM?hash=item2c4c481f01&_trksid=p4634.c0.m14.l1262&_trkparms=|301%3A0|293%3A3|294%3A30

edit: there are other places to buy your tail lights from, I just used those links for reference, but the speed line does have some good prices if you're looking for new and not used lights.