The most important thing to consider when choosing a shock for a lowered car is suspension travel. How much compression travel the shock has is mostly what you should be looking at initially. When the tire hits a bump, its pushed upwards. The shock needs to have enough compression length so as not to bottom out before hitting the bump stops.
When installing a set of shocks, always compress the suspension fully and check for compression travel. You may need to change the length of the bump stops if the shock bottoms out before contact is made with the existing stops. If you don't, you can destroy a set of shock in a few days by bashing the internals against each other.
You can lower the Mazda 3 an inch or two before you run into serious issues with suspension travel. As long as you check the bump stops most shocks should do ok. Konis work just fine, FSDs ride much better than Yellows, Bilsteins are fine. Some like the Ebay / Chinese crap such as BC coilovers, but those can present even more issues with installation.
Do you know what your spring rates are? That is something else to consider. Spring rates dictate how much compression/rebound the shock will require to control the motion of the spring. If the spring rate is considerably higher then OEM you'll need better valving in the shock or the shock won't work well and ride will be terrible. If thats the case you'll need something adjustable like the Koni Yellows or Bilsteins so you can dial in the shocks to work with the springs.