Does anyone know what that plug does
 

If you look in that thing that the dealer calls a change holder on the left of the steering wheel you will notice that at the top is a port of some sort. What does that do? What is it for?

That connector is known as the DLC for the OBD-II diagnostic computer. This is where the dealer's connect their computer to your car's brain.

The Mazda3 and Mazda6 both use the CAN bus protocol for OBD-II diagnostics. you can actually buy a code reader or program to read the codes that appear on the CAN bus.

:shift:

Can you buy an insert for the change holder?

Yeah, it would be great if I could actually use it for something.