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Be forewarned, this is a long post, but I'm hoping Miles (and maybe others) will find it useful.
I've owned three E36 BMW's, including a '93 325is, a '96 M3, and my current '96 328is. From a maintenance/cost of ownership perspective, I have zero complaints. The biggest related problem is the BMW service shops charge 1 hour labor to check a fault code (Check Engine light), and the OBDII (96+) E36's seem to light 'em up for any of seemingly thousands of different emissions-related reasons. It pays to buy (or know someone who owns) one of the Peake code readers for BMW, the kind that plugs into the diagnostics port under the hood. Autozone's free code check is worthless, as their reader outputs too general a problem from the OBDII port (under the dash). This didn't really become an issue until my current E36 ('96 328is) - I had only one or two CEL's between the two previous E36's, but I bought my 328is with a burnt out CEL and 3 stored codes, and after correcting those it has lit up several times for different reasons over the (less than 1 year) time I've owned it.
Like others posted, expect to change the water pump to one with a metal impeller ASAP, and the radiator tends to break at the neck where the upper hose mounts anytime after ~80kmi. Each time I've bought an E36, the first thing I do is buy and install new water pump, hoses, belts, and radiator (Bimmerworlds aforementioned $250 cooling kit). I've also heard of and found consistent problems with the power steering hoses coming apart at the fittings after ~6-8 years or 80+ kmi, and yes, BMW uses crappy hose clamps that need to be replaced w/plain 'ol worm drive hose clamps whenever you replace any hose.
Otherwise, common items that need replacement w/80+ kmi (sometimes less) are rear shock mounts, front control arm bushings, and rear trailing arm bushings - the RTAB replacement requires a special tool. I disagree about keeping the stock shocks/struts on an E36 with any more than about 40 kmi - the stock Boge units are crap and should be replaced w/Koni's or Tokicos (non-M only), or better yet, spend a little more and get Ground Control coilovers - the best bang for the buck upgrade out there for E36's, as they actually increase much needed suspension travel in the front.
For a daily driver, an M3 sedan is hard to beat - plenty of performance for the street, a use-able back seat, great handling, and very reasonable comfort. Contrary to popular belief, I've found the ride more comfortable with the much higher spring rates associated with a GC coilover set up than w/stock suspension. The problem is the stock front struts lack travel and are too soft, resulting in immediate bump stop engagement when turning or over larger bumps.
The best part about E36's, especially w/GC coilovers, is driving one on track. I haven't driven a lot of cars on track, but when I went from a '93 MR2 to a '96 M3, the difference was almost unfathomable. The M3 (just like my 328is) is unbelievably intuitive on track - like Karl said, just think about where you want to go and the car goes there quickly, no fuss, no muss. It's impossible to overstate how confidence inspiring a GC-suspended E36 is on track. I haven't experienced the 9/10ths vs. 10/10ths issue mentioned by Ron - although I feel I've driven my M3 and 328is over 9/10ths on track, I guess maybe I haven't. FWIW, I can say I've 4-wheel drifted most of the turns at VIR in both the M3 and 328is and have never come close to feeling like I didn't have complete control. One time I came up on a (potentially much faster car) entering the uphill esses in the rain, and the driver tried to carry more speed only to go into a spin while cresting the esses - I was on his bumper when he started coming around and had no choice but to gently lift, a big no-no in the rain while turning and unweighting simultaneously. My 328is stepped out a little bit, then just went exactly where I pointed it, around the right side of the spinning car heading track left. Experiences like that are likely to keep me in an E36 for track events for a long time.
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