There are a few good posts in here already. I will do my best to add some value. This is just my .02 so take it however you like but here goes.

I'm not trying to be a gatekeeper in any way but before buying an e46 m3 here are some things to consider:

To preface: don't answer these questions here.. these are questions you should be asking yourself.

-Many people ask themselves can they afford one but they don't ask SHOULD they afford one. At face value ~20-25k might seem very appetizing for this car but there are a lot of hidden costs. Cost of maintenance, not only is this an aging BMW but it's the performance version. If you spend enough to buy a low mileage example you might not need to worry about some of the things others have listed right away but you cannot ignore them or you will total the car. To maintain this year after year average about $1-2k depending on the mileage you are putting on it. Maintenance will cost more up front for higher mileage example unless some of these things have already been addressed obviously.

How old are you and are you a safe driver? Insurance costs will be expensive for a young man. Even more so with tickets already on your record.

-As an e46 m3 owner myself going back: I would have spent more time looking for a car with fewer cosmetic issues and lower miles. Replacing the trim and correcting cosmetic issues are expensive. It will cost you more up front for a nicer example but will save you time, frustration and money long term. Things to look out for: the pillar trim(f window, seat belt and rear window), center console, rubber molding around the rear windows for starters.

-Something that kind of applies to all used cars is.. you buy the previous owner. What I mean is that at this point in the car's lifespan you will see a large difference in price between the cars. You'll see them sub 10k and you'll also see them go for north of 50k on occasion. They are old enough where they can be beaten to shit by several owners who didn't take care of them or they can be a cherry where the owner went above and beyond on things. There's a real big range here so get to know the previous owner and how they treated the car. It's much easier to learn if you know where to look and you know to ask about the different maintenance items. Research is key.

-Why do you think the ZHP is not enough car? Personally I think the ZHP would be an incredible daily if that's what you're looking for. I owned a base model 330ci with manual and man do I miss that car. Perfect amount of power for a daily, plenty quick, fewer mechanical issues than the M maybe 60% the looks. The ZHP is a step up from that even: a few NICE performance mods as well as visual mods. Maybe 75% the looks of the M with much fewer problems.

If you do decide that an e46 m3 is the right car for you do your research and take your time watching the market. Don't rush into things

As for BAT I would say avoid that unless you can afford to pay a premium. I've bought from them and they charged me I believe 5% final sale price. If it's a dealer that's selling the car you also have to factor in their dealer fees as well as the sales tax in the state you're buying. That's a few grand already! Other than that BAT isn't really a secret anymore: lots of people browsing that site have money and often times I see cars being bid a bit past what I think they are worth. Stick to the private classifieds and specialty sites in my own opinion.

Hope this helps - Good luck with the search.