E46 all the way.
Gas mileage is a tad better than the E36. I used to get ~ 20 oin my 328is with the 330 I get 22-23 (I drive kinda hard).
Since you'd be coming from an E36, you'll love the upgrade to an E46, the car is sooo much more.... well... it's just more everything, more room, more power, more reliability, less headaches. And it handles a lot better too.