I have only purchased one new BMW, and I probably won't do it again.
First, since BMW has a certification program, you can buy a used car with a BMW 6 yr/100k warranty. This is a longer warranty than a new car. The warrany is not bumper to bumper, but covers anything major.
Second, you won't lose near as much money (or spend as much) driving a used Bimmer off the lot.
Right now dealerships have a lot of E46 lease returns. You should be able to purchase a 2001 330 for around 25-26k with CPO (certified pre-owned). These cars usually have 35-40k miles.
The major disadvantage to purchasing a used car is you don't always know what you are getting. To help with this I have a little advice.
1. Always get the service records. Sometimes this can be hard, but if the salesmen wants the sale he can contact the previous owner, if the car is local he will have no problem pulling the service records.
2. Take the vehicle to a mechanic to have it checked out, not the dealership that serviced the car (unless you know someone at the dealership)
3. Learn how to determine if the vehicle has been wrecked. This is pretty easy if you know what to look for. If anyone is interested, I can post a check list of what to look for.
I recommend the 330. Not that the 325i is slow, but it does feel a bit lethargic.