I don't want to sound biased due to what I currently drive but if you really enjoy the feel/sound of your 330i i.e. straight six power,why not test drive a 125i E82, & one with a decent chunk of M/Plan. When I moved from E46 to E9x, I was left very disappointed as even though the E9x was a much more modern vehicle, it lacked that seat of the pants driving appeal of the E46 (I had only owned a 323ci & the 2.2l 320i).
I am relating my personal experience when I was car-shopping. Look, I know the 125i isn't in the same performance league as a 135i, but purchasing a used 135i is a bit of a headache as most have been modified, or are close to end of M/plan, when being put on the market for sale. Insurance on the 135i is also steep. An E46 M3 would come with no M/Plan, very difficult to find a clean one, owners will hang on to minters, or ask a hefty premium, as the car is worth it, insurance again another cost.
I feel the general opinion regarding fuel consumption is over exaggerated with the 125i, I know from personal experience, you can get good fuel consumption from a 125i, if driven reasonably. I think with your budget you can pick up a decent 125i with a decent chunk of M/Plan, out of M/plan, I would imagine these cars being relatively straight forward to maintain as any other straight six BMW. It really is a fun car to drive, which is similar to the E46, in driving dynamics terms, one which will always leave you with a smile.
My 2cents.......:thumbs: