First welcome to bimmerwekz!
Seeing as how I dont own a e46 M3, I probably wouldnt be able to help you out. As far as software upgrades go there are a few good sites out there. www.turnermotorsport.com
is one of my favorites. They could probably hook you hook with some nice additions. Also www.aatuning.com
should be able to help you aswell.
Something you should look into is a full cat back exhaust system. I got a friend with a eisenmann on his 04 M3. It sounds terrific and get srid of that clicking sound that the stock exhaust makes when you accelerate fast through high rpms.
As far as CAI's go for your car, I believe K&N already has one out but they are currently in the process of making a newer and better one fo ryour car. Keep an eye out for it. Dinan also makes one that is supposed ot be good, and it will not void the warranty (no Dinan upgrades can void any parts of your warranty if installed by a proper center). And just make sure with any CAI you get, that you buy a heat shield with it aswell.
One again, www.turnermotorsport.com www.aatuning.com