I learned on my M3. Did a lot of reading beforehand for tips, best practices, habits to avoid, how a manual transmission actually works and therefore why things need to be done the way they are, etc. I probably learned about as much about driving stick beforehand as you can without actually driving because I didn't want to screw it up. I even created a thread on this forum that generated a lot of really helpful responses:
http://www.m3post.com/forums/showthread.php?t=501071. I'm told that the M3 is actually a pretty easy car to learn on compared to other MT cars; I haven't spent enough time in other MT cars to confirm that, but I certainly didn't have a problem after doing my homework beforehand.
I recommend initially going out and learning late at night when there aren't any cars out. If you can, try to find a long, level, rectangular-style route so that you can just keep going up and down long stretches of road to get a feel for shifting. Just keep going around and around that circuit night after night until you get a good feel for shifting. Once you've gotten comfortable driving late at night, move into driving during the day, but take it easy and give yourself plenty of distance between you and the car in front of you until you start to get an intuitive sense of when to shift, clutch in while braking, etc, otherwise you might end up stalling at a bad moment or even rear-ending someone -- stalling is especially likely if you realize you suddenly need to brake hard (e.g. you're about to drive past your destination/intersection) and don't remember to clutch in at the same time. After that, head onto the freeway when there's little to no traffic. That's a really great place to practice upshifting and rev-matched downshifting because you can safely use third through sixth at highway speeds. Just travel at a constant speed and work your way up and down those four gears. Note that if you're in the break-in period you should omit third from this exercise.
After that, go out at night again and find a really steep hill somewhere to practice starting on a hill. The best scenario of all is to find a street that has curb parking with nobody actually parked there. Pull up right alongside the curb to get out of the way of actual traffic, and then you can start and stop (and probably stall) to your heart's content without bothering anybody. If you stall, just remember you can always pull the e-brake to stop rolling backwards if you can't brake hard enough to stop while the engine is off and power brakes aren't available. You can use the e-brake hill start method during actual driving until you've mastered doing it without, but I actually found it easier to just go straight to doing it properly without relying on that method.
Then you might actually want to practice going backwards up that hill without rolling too far forward initially since you'll need to be able to handle your car well in both directions if you ever need to park between cars on a hill and avoid hitting them.