Don't forget you don't get the 4 year free scheduled maintenance covered if you don't buy in Canada (I believe). On an M3, I imagine that would be expensive and likely make the savings of buying in the US much smaller.
2016 M2 | Long Beach Blue | 6MT - current
2015 M4 | Austin Yellow | DCT - Sold
2014 Corvette Stingray | Z51 | Torch Red | 7MT - Sold
2012 MB C63 Coupe | Performance package | Obsidian Black - Sold
2011 E92 M3 | Jerez Black | Fox Red | DCT | Competition Package - Sold