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automatic transaxle problem on 2004 Mazda Mazda3

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The "AT" light comes on when starting the car and sometimes the car "jumps" when the gear shifts while driving. Yesterday at the stop light it started in 4th gear.
(1) Answer
Sounds like an issue with the transmission. I would get the issue diagnosed by a good repair shop, Dealer or a transmission shop.
Here are some shops in the Belton area: http://repairpal.com/directory?address=76513&car_brand_names=Mazda
Ask that they check for any related technical service bulletins or software updates to the transmission control module.