First oil change that I did all by myself. Decided to go with Mobil 1 fully synthetic 0W-20 as was recommended on the forums. Got a steal of a deal from a local AutoZone for $5 per jug. Bought the Mobil 1 M102 oil filter on Amazon for $11 shipped, very good deal.
Original blog post: http://myroadtrip.net/mazda-mx-5-oil-change-wheel-swap-miata-meet/
UPDATE: October 2015
Did my second oil change at 5,000 miles. I have to admit that I was anticipating doing the oil change much later, maybe 8-10,000 miles but the oil was pretty dark so I decided to replace it before winter.
For my next oil change some time next year I plan to swap the oil for something different, like Pennzoil Platinum or Castrol EDGE and the oil filter to K&N HP-1002 which came highly recommended. Will report on the progress then.
Second oil change post: myroadtrip.net/mazda-mx-5-oil-change-at-5000-miles-with-mobil-1-synthetic-0w-20-m1-102-filter/