I'd always suggest with a car like an M3 (or any high performance marque) that you don't really want to stretch your budget - these cars cost a fairly high amount to maintain and run, and getting one from the bottom of the pile (in financial terms) probably isn't wise.
When I was in WHSmiths at the airport last week I remember reading a magazine with an article about buying an e46 M3s for 10k. Can't remember what magazine it was now though . It had a full buying guide and stuff in it IIRC.
My dads just part ex'd his 03 cab with SMG it had 32k on the clock, he only got 19k! I think there are deals out there to be had, just have to be careful when buying one.
How much does one of those bmw warranty thingies for one of these cost, if you can even get one?