With the E46 M3, ensure that the rear subframe has been checked and or replaced, by a BMW garage preferably.
Other things to watch out for are the SMG boxes, unless you particularly want the SMG gearbox, if you aren't fussed then go for the manual. Otherwise, put ~£800 away for the SMG pump failure.
I think I'd be looking to pay around £10k for a decent E46 M3, I wouldn't want to spend less and get a ropey one.
At the same time, is it what you really want? Yeah, the performance trumps the 330i (as it should), but it's not like the 330i is slow by any means, and the lowered running costs would be nicer to live with.