M-parts will always cost more than regular production BMW parts. The numbers are just not there for M-part sales. All you have to do is look up the price of a front brake rotor for a 335i($173) vs a M3 ($336). both prices are for ONE brake rotor. lol All the parts are that way. When I had my e36 the regular front control arm bushing were 20 euros for one, vs the e36 M3 bushing for 93 euros each! You gotta pay to play! I think its worth it.
M-cars will also have some extra service needs. Like a break-in oil change and tranny and diff change at 1,200 miles. I think BMW NA covers this for free in the states. I have read that a guy on ED had to pay 700 euros for this at a BMW dealer over here in Munich! He had teh car longer than two weeks and was racking up the miles. I think he got reimbursed by BMW NA.
On the older e46 cars you had to adjust teh valves I believe. Again... more things to pay for at service visits.
You need to decide on what its worth to you to own a M-car. ?