I have driven E30, E36 and E46 M3s. Yes I'm a luck b@stard but it's not my fault my friend is obsessed with M cars.
The E30 was a true race car. The ride is tough, the car is noisy and it oversteers when pushed hard. No help of ABS, TC or other driving aids. Lots of fun but can also get you into trouble quite easily.
The E36 was a bit overrated in my opinion. A great manual box but the SMG was a complete POS. Slow chunky jerky shifts made it intollerable. Nicely balanced but seemed to lack a bit when pushed. It simply wasn't as much fun as the E30.
E46, the bees knees. Hard to find another car which performs so well in every way, shape and form. The car is gorgeous and practical. The flared guards demand attention (even though the badges have been removed), the quad pipes shout at you at full song when the foot is flat to the floor. The SMG2 gearbox is infallable. Quick, rapid shifts and perfect launches guarenteed every time. The car is supurbly balanced and corners without any real problems. There are so many driver aids in the car, it is almost impossible to get yourself into trouble. Without the TC, it can be fun and the car will allow you to throw the back out a bit but there is still some electronic aid in there to stop you from killing yourself. Switch them all off and you had better be a good driver otherwise it'll bite you.
M3s are different cars to Skylines. They are so much better refined. The interiors sh|te all over Skylines, the engine off the showroom floor can be argued as the best inline 6 N/A engine in the World.
The GTR is only a better car because it can be modified cheaply (relatively) and you can get a lot more power and performance handling.
I love them and would take a 2nd hand E46 M3 any day over a 2nd hand R34 GTR. Pricing is similar for them. Both a high standard E46 M3 and R34 GTR is about $70k-80k.