Mate, you're on a 1-series forum ... of course we're gonna back the 125/135!!! But maybe my experience can help persuade you ...
When I was looking for a car to replace my MINI Cooper S, the 125i Coupe, 135i Coupe, and S3 were all high on my short list. Others were Clio 197, Megane F1 R26, Cooper S JCW, RX-8, R32, Evo, and STi. Whatever it was had to have a useable back seat, so that immediately dismissed the TT, 350Z, etc. After many many years in exclusively FWD cars, I decided that it was time to try something different in either RWD or AWD. Basically, my current MINI already had as much grunt as a FWD car can cope with without inducing severe torque steer issues -- and I wanted something quicker. So that scratched Clio, Megane, and JCW. I was also after a quality/prestige feel to the interior and decent ride comfort, so that scratched the Evo and STi (too hardcore and "cheap" for my tastes). I also scratched the RX-8 on the basis of sub-par performance and poor fuel consumption, although it would have made a very tasty alternative.
So that left the S3, R32, 125i and 135i. Our other car is a Volvo V50 AWD so that provided a good background on how the Haldex system works ... enabling extrapolation to the S3 and R32. It's very useful in launching the car, but the rest of the time you're driving a FWD car. It's fairly quick to send torque to the rear in the corners, but I reckon you need a LOT more power than what I have in the V50 (162kW in-line 5cyl turbo) in order to maximise the effectiveness of the system. Not sure that the R32 or S3 have enough to make much extra difference. Many magazine reviews of the R32 I'd read suggested that the GTI was actually a better drive, and that wasn't encouraging considering that I was looking for a car with better track ability. Points off for the R32. Added to that, the S3 is said to have stiff ride, wooden steering, etc ... the Autocar review some time ago was influential. The interior quality or the Audi leaves BMW in the shade, but the exterior styling of both R32 and S3 are too boring for my tastes. The final straw was that I had found our local VW/Audi dealer to be unresponsive and unhelpful during previous visits, and I wasn't too keen to give them my business. Didn't even bother test-driving these two.
So that left me with the 125i or 135i. One drive in the 135i was all it took ... although I did have a second drive in another 135i just to make sure! If you can stretch your budget to a 135i, then go for it!
My advice to you ... try to figure out what it is that's most important in your buying decision and then match it against the car that fits best.
08 BMW 135i Sport Coupe | Manual | Sparkling Graphite | Coral Red Boston Leather | 10 Speaker Hi Fi