Just wanted to weigh in here with some observations that I have made in the almost 2 years of working and a very prestigious dealership in MI with many M's coming through the service and sales department...
I have pretty much heard every exhaust mentioned here, in most forms (x pipe etc), while they all sound a little bit different, they all sound better than factory, and I am sure everyone can agree on that. I read through hours of the forum when making my purchasing decision, I listened to sales, service and customers car, and even drove in most of them. A co-worker had an agency exhaust, it is the same exact exact exhaust as mentioned above, sounds the EXACT same. for 1/3 of the price, as also mentioned above.
Money is not a problem, but it is that way because of making smart purchasing decisions... Everyone one of us has something that they justify spending more on for name recognition, it may be your M3, it may be your suit, it may be your bitches, whatever the case, we all do it in some fashion, and that is a FACT.
So know with all that being said, I made the decision to go with the megan exhaust because it is the only exhaust for the M3 that is in line with what an exhaust should really cost based on 100's of other vehicles. Granted, there is more R and D with some of the higher end stuff, and it may sound better to your ears... Some also have no drone, which personally to me, does not make a difference, I actually enjoy it a little, and with the Megan, it is not bad to me at all. If you don't like any drone, then buy an exhaust with out it, if you can stand a little bit, buy a Megan. I have put about 3,000 miles on teh car with the exhaust, and I am very happy, people constantly comment that my car sounds amazing, and because of the blue tips (see below) looks amazing.
Bottom line, figure out what is going to make YOU happy, and when you find that comfort zone, purchase. Whether $550, or $3550.