Absolutely always use mazda filter and the owners manual says use Castrol which the three local Mazda dealers use this I also go with it. Over 60k miles with oil changes anywhere between 3k-6k and still runs great.
I would argue that Castrol SRF is the best, though it's the most expensive. It has the highest wet boiling temp, which I think makes it the safest to run for the longest period of time.
I use Castrol GTX 20W-50, same as what the manual calls for. I know the oils changed since then but the previous owner didn't care for the car properly so I feel like the detergents are necessary.
Everything I've found for my 2008 Rabbit 2.5L engine specifies Euro 5W/40. Although you can find it in several brands, the best price I've found is the Castrol Edge Euro 5W/40 at Walmart for the 5-quart jug.
FWIW: I live in Maryland and use Castrol Syntec 5w-40 in my 2012 JSW 2.5. I usually buy the filter and plug/washer from the dealer because they have the best price and I don't have to wait or pay for shipping.
I use castrol in my 2014 cx5.
I use Castrol Edge European Formula 0W40 for all of my VWs (2005 Phaeton, 2014 CC 3.6, 2017 Jetta SE and now a brand new 2019 Alltrack SE): I buy it from Amazon, for $ 24.47 for 5 qts. The oil has a "European Formula" label on the front and specifically states "VW 505. 00 and 502. 00 " on the back, and is made in Brussels, Belgium.
I got some Castrol Edge Titanium FST 0W40 which is VW502 00 approved. I decided to try this oil as their name is on the oil filler cap, as in the past with other cars I always used Mobil 1 0W40.
Castrol Edge European formula 5W-30. Closest thing to group IV you can easily find in the states.
I personally used to run mobil 1 0w-40. as you said its super thin and seemed to just barely get the job done. Recently switched to castrol SLX 5w-30 and I am decently pleased with the first two changes.
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