In order of want ...
1. E30 M3 Evolution - I've always had a thing for the E30. It was the first BMW I really, really lusted after. I must have been around 10 when I managed to get my hands on a BMW poster from the 80's showing a black M3 slashing it's way through a German forest road with the words 'Ultimate Driving Machine' printed across the bottom. Other car posters came and went on my bedroom walls in my parent's house. The BMW poster is still there. Also, it's the BMW that whipped Merc's a$$ all across Europe and back for several years.
2. E28 M5 (Euro spec) - It's the original Q car. The wolf in sheep's clothing. The Car Darth Vader would drive. In Euro spec, you got the amazing engine from the M1: BMW's first super car; 'Nuff said.
3. 2002 Tii - Just look at it! It personifies BMW to me: Light, lithe, sleek and shark-like. Cream with ///M stripes please.
In addition, I would consider the E92 M3 GTS and the E39 M5 to be quite desirable. The 507 is gorgeous but the contemporary Merc SL was a better car.