1. No, most definitely not. Just about everything on a 3 series is an option.
Heated seats can be purchased individually, or you can get them with the CWP, or Cold Weather Package. CWP includes heated seats, headlight washers, and split fold down rear seats. Leather can also be purchased individually, or it comes with the premium package on the 330. Moonroof used to be part of the premium package as well, but it doesn't look like it's included for 2005 models.
Go to BMWUSA and build one - you'll see all the different packages and what they include. Some variations exist depending on the model year, but you'll get the idea.
2. Gas mileage depends on what tranny you have, and what model you have. My 325i manual gets 20/29 supposidly - I've never checked for myself but gas mileage is quite respectable. All E46 3 series in the U.S. require Premium gas - 91-93 Octane, depending on where you live and whats available. Some people fill their's with regular unleaded = cheap bastards!
3. High Maintenance? Hmmm, well, some people have tons of problems, others have none. I've had none with my car. If you buy new, all scheduled maintenance up to 36K is covered by the dealer. Oil changes are every 15K. Standard warranty is 4year/50K. Many BMW owners will say, they knew up front that purchasing a BMW might be a reliability risk, but they love the car, so they live with it when/if it comes up.
4. Depends on which 3 series your looking at. The closest 3 series, performance wise, to a WRX would be a 330i with the Performance Package. This package was offered starting in 2003 on 4 doors and only came in a 6 speed manual. For 2004 it was available on coupes and cabrios as well, and was available in an auto (called steptronic in the 3 series). The M3 is faster than the WRX, the standard 330 and 325 aren't quite the performer that a WRX is. The 325 defintely not!
If your looking for an all out performer, spend your $ on something other than a 3 series. They aren't intended to tear up the streets. They do offer an wonderful all around package however, and if you looking for a smooth, comfortable, and gratifying ride, you'll probably be happy.
A good friend of mine has a stage 4 WRX, and while that thing is insanely fast, I get ill everytime I ride in it. The dronning exhaust tone, the engine noise, the whiplash of my neck when the turbo spools up - it just isn't for me. He'd destroy me in every performance category, but I'd never trade my 325 for it. Just depends on what your looking for I guess. They are definitely different cars altogether. Go drive one and see for yourself. Maybe it won't be for you, maybe it will
edit - I just checked out your car. If you don't want to take a step back in the performance department, you'd better look to an M3 if your thinking BMW!