We picked up our E46 M3 several years ago with the SMG transmission. We did a full 6spd swap on it, and a complete suspension overhaul. Needless to say, replacing the tired 10+ year old bushings in the drivetrain made a huge difference. With the suspension dialed in, we were having some fun on track.

Before heading out to the track we did the fundamental upgrades for brakes.  Slotted rotors, braided lines, dot 4 brake fluid, and track pads. We noticed that during a 20min session, towards the last couple laps the brakes started to get spongy. This was on 265 street tires as well.
We don't have brake cooling, but for a near stock M3 we were hoping to get more out of the brakes.  We turned to our friends and Wilwood, however they did not have an application for the M3 at the time.
Fast forward 2 years, and Wilwood released the E46 M3 RACE Kit. 

This is the complete front and rear 6 Piston / 4 Piston kit.
The AERO6-ST (Thick Pad) calipers with 20mm thick pads.  You can see from this picture the exclusive Thermlock Pistons in the calipers. 
Thermlock Pistons provide the most effective barrier available for minimizing heat transfer from the brake pads to the caliper body, seals and fluid.  This innovative multi-part design incorporates a stainless steel shield and coated aluminum shell configuration that effectively retards heat transfer by at least 25 percent.  This reduction in operating temperature eliminates seal crystallization and localized fluid boiling, which decreases distortion in the caliper body and piston bores, extending overall service life.  
This technology was originally developed for the extreme temperatures and sustained high heat in NASCAR and professional-category road racing.

Better look at the front 6 Piston caliper with the Thermlock Pistons.

Front kit comes with a 14" and 1.25" thick GT72 Directional vane 2 piece rotor with a Forged center hat.
Rear Kit comes with a 12.88" and 1.1" thick GT48 Direction vane 2 piece rotor with a Forged center hat.

You can see our OE setup here.  Nothing fancy.

There isn't any modification required to install the kit other then remove the brake dust shield.

You can see the difference in rotor thickness here.  Having directional vane and thicker rotors helps with the cooling efficiency.

There is one draw back to going with BBK in the rear, and that is you lose the ability to use your e-brake.
For us it wasn't a big deal, as we were used to parking the car in gear.  Stopping power was what we were after.
Pedal pressure feels just slightly more firm then stock, which is preferred for better feedback.

Sitting behind the Volk Racing 18" ZE40's.
We were told that the new BP30 hybrid compound will be able to hold up to track use and have good performance on the street, so that's what we have on our car.  If you are running R-comps or slicks, we'd recommend a more aggressive pad compound.
The picture you see above is after 3 sessions at Road America.  On our other cars, the wheels should look dark gray by now covered in brake dust.  Who enjoys cleaning wheels after a track day?
Once you get little bit of heat into the pads, the initial bite and the braking power over the OE setup is night and day.  Each lap, I progressively got deeper and deeper into the braking zone, and not once did I feel the slightest of brake fade during the 30 minute sessions.  The brakes inspire so much confidence!
First Track day / test session was a complete success!

We have since then put over 1,500 miles on it daily driving it, and 2 more track days at Autobahn Country club South and North Course.  Rotors show no irregular wear and pads have approximately 60% life left.

100% satisfied and 0 issues to report. 

In conclusion, if you're planning to do a brake upgrade on your M3, this is something to consider.  
For the complete front setup this kit sells for $2387.49, which really isn't bad as you get everything you'll need.

To order this kit, please CLICK HERE.