Great topic - as my Mazda3 is nearing its arrival date (April can't come fast enough), I'm having the exact question myself.
Here are the facts (and my opinions) so far:
Regarding Mazda3 paint
Fact: The Mazda3 uses a special three layer wet painting system (here's one article about it:
http://www.japancorp.net/Article.Asp?Art_ID=6189 ). As such, one can't really compare the durability of the Mazda3 paint job with any other Mazda (except for the Japan-assembled Mazda6, which we don't get in N. America)
Opinion: This three layer wet painting system is great for the environment and in terms of cost. However, from all the articles I've read on this painting process, my personal belief is that the paint will probably be softer, and hence more susceptable to rock chipping than a typical paint system. However, I'm not an engineer, so I'm open to engineers/chemists chiming in on this.
Regarding clear bras
Opinion: While visiting showrooms & testdriving cars last year, I came across a '01 Celica with the clear bra. It looked TERRIBLE. Part of the hood had a clear bra and that part was clearly a different color (darker and no clear coat effect on the part with the bra). I obviously don't know what brand of film was on it. Although the film did not yellow, it definitely lost it's shine (plus made the color of the hood different). I have seen clear bras on brand new vehicles and they look great (not even noticeable unless you know where to look and look closely). However, I bring up this Celica because the vehicle is three years old (and based on how bad it looked, I think it's safe to assume the bra has been there a few years).
My trip to and back from work is almost all highway so I have been thinking about the clear bra. I'm still on the fence about it. But even if I were to do it, I definitely wouldn't do the hood (because of what I saw with the Celica), so I was thinking front bumper, headlights, and mirrors only (so only the plastic parts).
But as I said, great topic, I'll be interested what the others say as well.