Warranty isn't a problem. Just make sure to keep your receipts for your oil and filter, and keeping a record of all maintenance is a good idea (I keep a sheet of graph paper in my glove box with all the maintenance I did, date, mileage, etc.).I told myself I'd get all of the routine maintenance done at the dealer for warranty reasons but gave up on that. I'd much rather do it in my driveway than have to make an appointment, wait around, etc.
The convenience factor is a big one for me, aside from knowing it was done right. My nearest Mazda dealership is 45 minutes away; the amount of time I'd spend driving over there, waiting around for it to get done, and driving back is easily more than the time I spend just doing it myself, plus I'd have to take time off of work to do it, which is a giant PITA. Doing it myself, I can do it in 30 minutes in my garage in the evening or on the weekend.
I'll also add that once you figure out how to get the car jacked up (wheel ramps seem to be the best method here), changing the oil is really, really easy on this car thanks to the convenient location of the oil filter and the access panel. I do wish they had a jacking point close to the front though. That jacking point behind the engine is way too far back for most jacks.