As for the oil on the plugs, it's your valve cover gaskets... good news they are about 20 bucks each from mazda and the front one is extremely easy to replace, the bad news is the back one is a pain it the butt to replace, but it's worth doing it yourself.
loose window seals.... will probably need to replace.
airbag light... i've got that problem, different code, was wondering where to find trouble codes for airbag sys???
Shifting into 2nd... got that one too, had my clutch replaced recently and if i try to shift into 2nd above 3500 rpm, 2nd grinds. let me know what you find out about this one...