I have an e36 and could give you a few tips.

I have got a square hole in the glovebox through which comes the leads for Aux in, serial, ethernet cable, and tuner. So if the car is left anywhere dodgy the tunner comes with me as well as the empeg.

The aux in did have a cd player attached to it in the glovebox for when i wanted to listen to a cd but it never happened.

I am looking at an M3 as well but E30 for me.