I've had mine two months now and absolutely love it.
Definitely look out for a face lift example, as well as looking a little nicer, you'll benefit from a revised engine (to do with oil seals in the VANOS unit) which means it uses a lot less oil and is generally prone to less problems.
Hold out for a version with all the options you want as they're not cheap to retrofit. A lot of kit is standard but you do see the odd few kicking about with Nav. Personally I'd avoid these.
Make sure the auxilliary cooling fan works. This can be tested by pushing the MAX AC button with the car stationary. If the fan doesnt spin up within a few seconds either the fan needs replacing (around £400 fitted), or there is a problem with the AC system not engaging.
I had a few AC issues and spent about £1k at a dealer getting this sorted so make sure it blows nice and cold if you don't want the potential for big bills.
The pixels in the instrument cluster also tend to fade/disappear over time. The supply and fit of a new cluster from BMW (it needs dealer programming to the car) is about £900. I am starting to have a few problems with mine but have had a claim authorised on my warranty (phew!).
Other points... check for signs of bubbling paint inside the fuel filler cap. The finish on the alloys is very thin and cars around the age I expect you will be looking often have bubbling paint. An alloy refurb will probably be about £250-300 but it's not a paint that a lot of places can do. There are a few place that come recommended though although they still struggle an exact match with the OEM finish.
Clutches tend to last in the region of 50,000 miles and a replacement will be 800-1k from what I have seen.
Servicing at a dealer will be expensive, for older and higher mileage cars I'd find a good indy.
Good preventative maintainence when you first get it if there is no sign they have been done recently would be to change the coolant, brake fluid, gear box oil and diff oil.
Insurance will be a pain for under 25s (I'm 24 and got mine covered by a mainstream insurer with quite a bit of begging).
Absolutely love mine and plan on keeping it a couple of years - At the Nurburgring with it this weekend