M3 is good candidate for aftermarket headers.
If anyone doesn't get EuropeanCar, they have a great article on Supersprint exhaust anatomy for the RS4 and M3.
"By analyzing the baseline pressure and temperature data throughout the stock exhaust system, Supersprint engineers determine what pipe diameter to use and where maximum performance gains can be made. At each measurement location (or exhaust component) there is a unique back pressure characteristic. The graphs on page 82 and this page show pressure characteristics at the four locations in the OEM system of the RS4 and E92 M3 respectively.
Exhaust pressures increase with revs at each point, decreasing as the exhaust moves through the system. Note that an average vehicle with a 6000-rpm redline will have a 'Pressure 1' value in the 7.3 psi range (dotted black line on each plot), while more sporting models will measure in the 3.0 to 5.5 psi range at 6000 rpm and continue to increase toward their higher redlines. The RS4 and M3 fall into this sporting/performance range and therefore have systems that are well optimized from the factory. However, the new M3 has higher Pressure 1 values, indicating a good candidate for an aftermarket header application.
Incidentally, Supersprint is developing a step header for the new M3."