Which would you choose and why. Keep in mind I am in Colorado where regular is 85 octane and premium is 91.

 

The ethanol content is irrelevant, Mazda recommends 91 octane, so that's what I'd take.
Yes people have run 88, yes it might be fine at altitude, but it only takes one bad knock event for the fuel cost savings to be obliterated.

 

What Loki said.

 

Loki,
what would a bad knock do?

 

Destroy the motor.

 

I have historically used Shell 91, which is E0. Recently switched to Petro-Canada 91 which is E10. No difference in power as far as I am aware. Your fuel economy will decrease by about 3% with E10 fuel vs E0 fuel, but that is very minimal and will be outweighed easily by your driving habits.

Some people claim that they use lower octane fuel and their cars work fine. The car should be able to adjust the timing based on the octane level, but I never bothered to actually find out myself.