I didn't see this mentioned yet, but many HPDEs require a pre-event inspection which can run anywhere between $100-150 depending where you have it done. Since OP has a 2005, a full saftey inspection would be recommended.
Two day M School will run you in the neighborhood of 3K plus travel so you could easily do quite a few HPDEs for that amount. However, I will say that the PC is a blast. I have not done M School but I took PCD and got a full mornings worth of instruction there. The facility is impressive, the fleet of cars is awesome, and the staff is top notch. Plus you might even be able to schedule a tour of the plant and visit the Zentrum while you are there.
There are arguments for both. If you are looking at it from a straight cost perspective you will definitly get more bang for your buck with HPDEs. But if you are looking for the full BMW experience, hit up the PC.