Just answered this question myself with an e36 330d Sport. Dont bother with the 320 unless your anal about fuel consumption, they dont have enough beans but the 330 is quick enough to be interesting. Try and go for the 2003 onwards model with the 6 speed box if you can find one (I took 3 months looking and still didnt get the spec I really wanted, plumping for an earlier post-facelift one instead) as they have more oomph and MUCH better spaced gears for the same economy. FWIW I appear to be getting around 35MPG.
The only warning I have is that the boot really isnt any bigger than a mk2 Gti's! Oh and dont be put of by mileage, they have all been to the moon and back or are at prices that will make you look at an E92 instead. Things to look out for are broken rear springs, swirl flaps in the intake (going to remove mine shortly) and the usual wishbone issues that all BMW's seem to suffer from. Only problem I have found is that Im already looking at upgrading the suspension as its a heavy old beast and has more roll than I like but Im sure a bit of Bilstein B12 action and some ARB's will sort it while improving the ride at the same time

. I also have plans to pop over to R-tech to see what they can do to get it up to/above later spec oomph as they are only down the road

.