@TurboLlew has some good points above. You also seem to have nailed down which parts of the experience are absolutely non-negotiable (Purchase and running cost). The nice to havs are always power, but the 2-seater or, if you're like everyone else who looks at things like a Toyota 86, "Its technically a 4 seater."
Then, what do you like? From the BMW 125i, E46 and E39 comments, you seem to be a BMW fan. So we can work with that, but, why not look at something different from an NA front-engined, rear-drive BMW coupe (ok E39 is a sedan but you get my thinking).
This raises some new territory to explore.
1. What about a luxury sedan? Think Lexus LS460, BMW 750i in F01 shape or W221 (Maybe even a W222) Mercedes S-Class. I know they cost more than the entire US Military budget to maintain, but they're quite wonderful to drive and move around in. I had a Lexus LS400 and while it drank 16l/100km, it was like moving around in the most comfortable armchair ever. Might be worth peeking into this space.
2. MX-5 or S2000 could be a new experience. Small engined Japanese roadster. S2000 would require a bit of searching to find a nice one that hasn't been cheaply modified and/or had the shit kicked out of it, but they exist. MX5: Buy the newest, nicest one you can afford and it'll be a joyful, reliable car for as long as you own it.
3. Please don't buy a Nissan 350Z. They don't sound very good, don't drive that nicely, aren't that fast, generally feel quite poorly built and are just a bit of a letdown.
4. If you want to go BMW, the 125i seems a good bet. Not sure how many manuals are around, but they were always less loved than the 135i, but I think the 125i has better classic potential.
5. Total wildcard but how much Subaru WRX could you get for your budget? I know they carry a specific kind of image but they are a lot of fun