For a clean e46 M3 with low mileage, 2004 or 2005, you should expect to pay in the 40K range. The lower the mileage the better. They are M tuned cars that are a lot of fun and you can get a ton of performance out of them, even in stock form. They are great on the track. As with all new BMWs, make sure you can afford to fix it and/or maintain it if you buy one.
Join the bmw cca and you get a monthly magazine called Roundel. They have classifieds selling M3s all of the time. Check out e46fanatics.com also.