Hi, I'm new to the forums (I came across them while trying to find answers to my problem), but basically I'm in the same boat as DanT...I've got a 2004 Mazda3 2.3L Auto and pulled that P0715 error too after getting both the CEL & AT lights. The AT light would come on when my transmission would slip from 4th to 3rd gear or 3rd to 2nd gear and then turn off once I stopped or went back to 1st gear, but the CEL light would stay on. Anyway, I checked with my mechanic who said it was a transmission output speed sensor. He could get the part for $120 and after everything (labor and taxes), it would come to $250. I've heard speed sensors are fairly easy to replace so roughly $120 in labor costs seemed a bit high.
I haven't had much luck online so I guess my questions would be the same things DanT is wondering. How much (roughly) would a sensor like that cost? And would anyone know how easy or difficult it is to fix on their own. Anyway, any help would be greatly appreciated!