I thought it was a great school, very good instructors and probably the only chance I was going to have to push an M5 and M6 the way they encourage you to do. The M3's were not yet in their fleet, so we had Z4Ms for the stick shift portions. I did the 2 day course (was a gift), which is expensive until you figure the wear and tear on those cars.
In terms of pure enjoyment, vs learning, the M School was the most fun of the courses I've done (several BMW CCA schools and track sessions, and several years ago while posted to Germany I did three ADAC schools at their Nurburgring center--state-of-the-art facility back then with water walls and different grip surfaces--and two BMW sponsored schools at the 'Ring, including the "Winterperfectionstraining" which is done in the snow).
I would definitely recommend as a first driving school before going out in your own car. Plus that way you have the driving helmet from the beginning.