I've been buying my VW parts for years from germanautoparts.com anything I need I can get from them and never worry about quality. Great pricing and a solid "you pay what we pay" shipping policy.
They are my one stop online shop. (not a canoe, I swear)
I've had my wife's Mazda 6 for awhile and have yet to find a Mazda site quite like that. Any recommendations? Before too long it's gonna start needing stuff beyond tires, brakes, and oil.
For my BMWs I use RMEurpean, and order from them all the time. Funny thing - I have only once had to order anything for my Miatas. They need parts so rarely, and when they do need something I can almost always find it at the parts store up the street. I've had good experience with AutohausAZ - they carry lots of Mazda stuff, but I've never needed any of it :D
http://grassrootsmotorsports.com/forum/grm/anyone-work-at-a-mazda-dealer/41072/page1/