I have had moisture appear twice in my front headlights so far (1000 miles on the car) I called my Mazda dealer and they told me the headlights are vented and that any moisture buildup is normal and the headlights will burn it off.

This does not sound right to me. It looks incredibly tacky with the moisture in the headlights.

I also found a little condensation in the tail lights.

Is this normal guys?

This has been mentioned on this forum before, in fact, over at the UK forum they are trying to do something about it since they experience high levels of humidity.

http://www.rx8ownersclub.co.uk/forum/