I had some noises that sounded like they were coming from the dash. Ultimately, it ended up being my sunglasses in the overhead storage rattling around. I had my dealer take a look while I was sorting it out and they said the circular vents were rattling and replaced them under warranty. Mazda has a TSB out for the vent rattle issue if that turns out to be what you're hearing. I think Anchorman had a glovebox rattle, though, and he ended up putting some foam around the edge of the door to fix it, but made it hard to close it.
One thing that I have noticed is the plastic trim piece that sits below the glovebox right above the passenger's feet is just kind of sitting in there with a flimsy little clip that keeps it from falling out. I'm amazed that piece somehow doesn't rattle more. It fits very loose. I'd try taking that piece out and see if the rattle goes away. If that's your problem, then that should be pretty easy to shim up to fix.
One other thing is to check the upholstered trim piece on the dash above the glovebox. That piece has been known with other members here to fit loosely on some cars and cause some rattles, too. I'm not sure if Mazda has issued a TSB for that one or not.