Try and find ya a used VW TDI. Supreme fuel economy, which will get even better once the motor is actually broken in @ 150k miles!
I've got two friends that picked this car up in the last couple of years, but as new. One is a wagon, the other sedan. They are both goo goo ga ga over their respective rides, one of whom (sedan) is coming from a whole string of nice cars (Benz, Audi, BMW, etc). This sedan guy wanted a Passat I believe, and a stick shift, but I think very limited supply to demand had him settle, but he's still very happy. I haven't asked them in a while about their rides. I did ask the sedan guy about a month after he picked up his ride about his fuel costs.
Me: How much to fill up your tank, and how often?
Him: I don't know.
Me: What do you mean, you don't know?! How can you not know?
Him: I still haven't had to fill up yet!
I think he was in the ballpark of ~600 miles on his first tank(!), +/- 100, because I can't quite remember. However, what I have noticed with people who pick up their first super efficient car is that they go super-grandma on them just to see what they can eek out. I noticed that with early Prius owners too. Anyway, if you check out TDIs, you won't have much in the way of choice these days, and if you're expecting a great deal, you need to have superlative negotiating skills. That, or a nice bottle of tequila to get P Dawg to come along with you.
Re the Mazda 3, they're actually more spacious than you might think. My friend is 6'5" and is quite comfy driving his Mspeed 3. A word of warning with Mazda is that the paint is as thin as it comes in the industry, so always keep protective coats on it if you care about looks/longevity/rust/resale/etc.
