I have recently had a chance to drive 08 e92 m3 sedan and I must say I was impressed. I'll be honest, I'm usually a BMW hater. Driven dad's 335xi and brother's 328xi and wasn't impressed. However, the e92 m3 is a totally new beast. Now I'm going to compare strictly on autox platform but it should be enough to give you an idea. The differential in the m3 is far far superior than the z (mechanical diff vs. viscous in z). Therefore, you can put the power down much much easier and smoothly. There were areas where I KNEW I will be spinning with over steer and then counter steering in 370Z where m3 just simply put the power down. Also, Z is much more twitchy and bit hard to control. In autox, Z can be bi*ch to control sometimes where m3 was a breeze. As you feel that the rear is starting to slide, slight steering correction on m3 with feathered throttle and you're driving straight again. The car is very very balanced. I will say that m3 felt a bit over steer happy then again, I was on narrower non comp package m3. What's your primary target? autox or hpde? I feel that for autox, you should get Nismo or 370Z bc I always tend to out-turn my buddy with my 370Z. He gets competitive as when there are more straights and less turns on a autox course as m3 is heavier and Z is lighter and agile in turns. But in hpde, m3 will eat you. Doesn't matter what track you go. M3 expansive to mod and maintain. Z is super cheap. So decision is yours. Here's me driving the m3 couple weeks ago
bmw m3 autox - YouTube