beware, not saying "don't do it," just beware
BMW's, and E46 M3's in particular are "high maintenance."
Early E46 M3's had exploding engine problems. 2001's came with 5W-30 synthetic oil. They called everybody back in and switched them to 10W-60. But, the early 2002's started blowing up even more often. They eventually admitted there was a problem and changed out the connecting rod bearings and oil pumps. They later came back and changed out the connecting rod bearings a second time.
BMW's VANOS (variable valve timing) systems are problematic. If they go out of warranty, it's $4k to $5k. Cat' converters are another BMW problem.
Trim in another BMW problem. A lot of people have had window gaskets come loose, painted interior trim fall apart, floor mats, and the dreaded self-dimming rear view mirrors (see my thread below). I had the assembly that contains the rear tag lights and trunk switch break loose.
E46 M3's have solid valve lifters which require adjustemnt during "inspections." Inspections are required every 20k - 28k miles, depending on how you drive (based on MPG). Adjusting the valves requires a collection of shims and special tools. My last inspection was $1,300.
I've kept accurate maintenance and cost records on my car (an early 2002 with 88k miles). I've spent $8,142 on maintenance and repairs. Depreciation is the big one. My car's depreciated $42,667 during that time.
As a car gets older, the depreciation costs (per year or per mile) go down, and the maintenance costs up. Depreciation is a function of time and mileage. An older BMW's value is more dependent on mileage than a newer one's is.
I'm driving it less now (6-8k miles/year), then when it was new (12k miles/year). So, my total cost per mile (depreciation, maintenance, gas, insurance, capital costs (interest the money tied up in the car would have earned) has been very consistant, about $1/mile. My five year old, 83k mile Honda Accord has cost about $0.40/mile. My four year old Cobalt, about $0.37/mile (big deprecation, much higher than the Accord). The last year of my banged up Civic's life, it cost less than $0.20/mile.
I'd stay away from a high mileage E46 M3. I'd also look for one that has had in-between-oil-changes oil changes (about every 7k miles instead of the scheduled 13-14k miles). If you can find a low mileage one with good original paint, and you can tolerate $1/mile and the occasional $2k to $5k surprise, a lot of good ones are out there.
You set off an alarm when you mentioned a "good down payment." If buying a ten year old M3 requires a car loan... DON'T DO IT!!!! Relative to your income and net worth, the car could eat you alive. BMW's, either new or well maintained old ones, are cars for people with six-figure incomes. Otherwise, the car owns you instead of the other way around.
Expensive cars attract vandals, too. If you don't have a garage, safe parking at work, and a beater for trips to Walmart and the mall, it's not worth owning one.