I replaed the Conti's on my `02 325i with Michelin Pilot Sports, and noticed a HUGE difference right away.
Smoother ride, better handling/cornering. I got my set at Costco, and think I was out the door for about $650, give or take.
Before I bought mine, I went on to a couple of forums and asked the same thing, because I, too, wanted the wisdom and experience of other BMW owners. Now, when I'm driving down the road, and I see another 3 series, I try to take a look at the tires, and most of the time, it seems like they're sporting Michelins.
Whichever way you go, just make sure you don't sell yourself short, and buy cheap tires. You're BMW will suffer for it. Good luck, and let us know how it goes.