First car?
Get an E46 with the M43 engine.
Seriously.
It'll handle well enough as stock, and the handling can be improved. That's a big plus.
The engine, gearbox and drivetrain are reliable, and easy to work on. Parts are readily available. Parts are cheap.
No - it is not the glamour that a Z3 might be, but it's a better, more practical and more suitable car for a first car.