I decided not to go with the 135 because I didn't love the rear end that much, but it was still a tough call! I ended up getting a 2004 M3 with 20k miles and a CPO warranty till early 2010. It is "sportier" than a 135 although not any faster in a straight line (they both do 0-60 in the mid to high 4 range and get at least 105mph in the 1/4). Plus, I really like the mechanical LSD that the non-M cars don't get.
Compared to my '06 WRX, the "feel" of the car is completely different, as one would expect. I've always been a fan of quick cars that make sacrifices for speed like less luxury, noisier, etc. I almost feel like the standard BMWs are a little TOO luxury oriented for me, but the used M is still loud, stiff, and absolutely hammers to 8k rpm
I'd drive the 135i stick and an '08 STI, try a lightly used E46 M3 if you can too and good luck!