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.
2013 M3 LRPE Sold
2011 335i Sold
2013 M3 Coupe DCT RIP
2011 M3 Coupe Sold
2007 335i Sold