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Depends also on whether you want to mod...
Consider whether you will want to mod the car after you buy it. Are you planning to track it? Even if not, but you still want to modify it like I did with mine, then you'll want an OBD-I E36, if you can find one.
To expand on what BlOOe46 said about the gens, OBD (on-board diagnostics) is associated with the type of emissions the car has. For US E36 M3s, the 1995 was the only OBD-I model (engine type W50-US-B30). 96-99 E36s are OBD-II (engine type W50-US-B32). E46s are also OBD-II.
OBD-I cars have a much less stringent set of emissions requirements than their OBD-II brethren, and therefore can be modded with freedom from dreaded CE (check engine) lights. If you try to mount a Euro HFM, or performance chip, or cam upgrade in an OBD-II car, basically the diagnostic system could freak out and give you the finger (by way of the CE light).
By contrast, I installed a Conforti Cold-Air Intake, Euro HFM, Conforti Performance Chip and Bosch 24-lb Fuel Injectors in my OBD-I 95. When I cranked the car, it gurgled for about 3 seconds while the fuel system re-pressurized, then ran nice and smooth...no lights at all. They were nice, easy bolt-on mods for a total of 32+ hp more than stock and about 2-2.5 more MPG (when I'm NOT standing on it!) The kit cost me about $1250 and took less than 2 hours of install time. Combined with the fact that my engine is balanced and blueprinted, I'm running ~285-290 bhp, and a 0-60 time around 4.9 secs I'd suspect.
I raced a stock E46 M3 coupe ('03 model) a month after I did my mods, he slightly missed one shift (1st to 2nd, took him just a fraction too long, IMO) and I ended up taking him by about 2 car lengths up to 90 MPH or so. E46 M3 coupes are rated at ~4.8 secs 0-60. Therefore, if he hadn't missed the shift, he'd probably have beaten me by about an equal distance, but you get my point about the possibilities of the E36 OBD-I platform.
There are fewer mods available for the E36 OBD-II, and many times 96-99 owners end up spending $1500 or so to do an OBD-I upgrade before they do ANY other mods.
There are even FEWER engine mods available for the E46, with Shark Injectors, cams and exhaust being about it.
My future plans for my M3 include Schrick cams, underdrive pulleys, performance exhaust, then brakes and suspension (I'd have done these last 2 first if I tracked my car). I'll end up with around 320+ hp naturally-aspirated, and will then be able smoke stock E46s anytime. 320hp>333hp? No, but my car is also a little lighter, has different powerband characteristics, plus I think God just loves OBD-I E36s more!
(Just kidding about that last part.) But seriously, a lot of people swear by the OBD-I E36. If you want to talk forced-induction, then you're REALLY talking about power! There are quite a few 400+ bhp OBD-I E36s out there surprising the hell out of Z06's and 911 SC's (for MUCH LESS money invested! (<$20,000 for car + ~$5,000 for restoration and blueprinting + ~$10,000 for F/I kit, installed = ~$35,000!)
Hope this helps with your decision.
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ScorLibran
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