I would agree. In Chicago, IL your are going to get some crappy winters, potholes and horribly salted roads (like you already don't know ..
). Keep your car (as you may have paid it off already) as a 2nd car. As much as the //M3 is a very capable daily-driver (even in the winter with proper shoes), its worth keeping it pristine as a 3-season car (at the most).
You should still try and shop around (private party included) to sell your e46. If you get a great deal .. sell it and buy something really-really cheap for the bad days. I still think that a bmw (regardless of whatever model it is) is not worth being a winter "beater" .. !