I had a 2002 325i for several years, loved it!

make sure the window regulators work (you will be replacing them at some point)
make sure the shock towers aren't mushroomed or crakced
take it to a mechanic you trust to look it over thoroughly
have an extra $2k set aside at all times to take care of surprises
you will be replacing the AC system reastat (sp) at some point

goto this place and look up even more info
www.bimmerforums.com

oh and don't by an automatic trans BMW