It's not as simple as that. Mazda is not BMW. Whether or not you think one is better than the other seems to depend on what you're looking for.
BMW has many (very good) performance models, but seems to focus most of it's efforts on performance sedans and larger coupes. At least stateside, it doesn't have a very big offering for sports cars or compact sedans that are performance oriented. It had the Z3 which could never match the popularity of the Miata, and now the Z4 which is targeted more at the Porsche Boxter.
BMW is a more luxury oriented performance brand.
Mazda is a smaller car company that focuses on cars that are also fun to drive. Mazda has larger vehicles but is best known for it's Miata, RX-8, and the sporty Mazda3 hatchback/sedan. As a full sized sedan, the Mazda6 regularly gets good marks for quality and driving experience. While they're well known for creating cars have quality suspension, brakes, handling, etc., they aren't known for being a luxury brand.
None of the major Japanese manufacturers were. That's what brought about Acura, Infinity, and Lexus. If you want a Japanese car that is refined as a BMW or Mercedes you pick one of those brands.
Mazda did have the Eunos line of cars for it's luxury brand in the 80's and 90's, but decided that market wasn't worth pursuing. It's most remarkable offering was the '90-'95 Mazda Cosmo.
I suppose the biggest feather in the cap of Mazda over Mercedes and BMW is the rotary motor. It's a German design created by Felix Wankel. Many manufacturers (including BMW, Mercedes, Chevrolet, Ford, etc.) tried to take the concept and make it work, but only Mazda found the right way.
I imagine a little Japanese car company taking a uniquely German motor and making it work where the Germans could not might be considered a victory.





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