Steve,
The Roundel did such a comparison many years ago. They even extrapolated the three (or five?) year cost of ownership of the two which showed that net out of pocket wasn't all that dissimilar after the time period (if you sold the car) since the M3 held its value so much comparatively. I'll have to dig out the issue sometime, but I can't recall exactly when it was (and it might have been versus the E36 M3 sometime in the 90's). That's one thing interesting about the old guard that has run the CCA -- they haven't in BMW's pocket unlike some other clubs. From that Mustang comparo to a total slam job on the E60 when it was released, they have taken some strong positions against BMW at times.
I don't really think "in the market" these cars are competing at all. I know of nobody who is cross-shopping an E92 M3 and the Mustang GT unless they're thinking of buying a GT to drive and buying a 2nd one to store instead of the M3.

Just because performance numbers might be close is irrelevant to the M3 marketplace for the most part (my opinion of course).
This is particularly true when you look at the E90 (4-door) M3.

My wife and I have thought about selling her E90 and buying a 2011 E90 M3 before they go out of production. It's an awesome 4-door sedan, and likely will be looked at as the end of an era out in the future. However, her current car has been such a good one (incredibly reliable since new 4.5 years ago) that we're probably just going to keep it longer. We tend to buy cars and hold them very long term (hence the reason the old 850R is still here after 14+ years).
Anyway, the competition for the E90 M3 is what? CTS-V? (too big and supposed competitor for E60 M5). One requirement is a 6spd manual as neither of us will accept a slushbox or automated manual (not quite using a walker yet, but that day will come I suppose). I think that might leave the S4 as the only other sedan that comes close? The Pontiac G8 GXP was looking good until it was killed, but it's also a larger car.
I think you might be a more converted fan of modern BMWs if you spent some daily seat time with one? It's not too "modern" but you're welcome to drive my M5 any time you want or the E90. The E90 330i is an interesting car if one is a fan of N/A BMW sixes when fitted with 6MT and sport package.
Regards,
Chuck