E stands for "Entwicklung" or development, and represents a series of a particular model (I.E. the E46 was the 1999~2005 3 series including all body styles while Scotty lists the E9x current 3 series).
http://en.wikipedia.org/wiki/BMW
Scroll down to "Series Generations" for a fairly accurate listing.
While I wouldn't call the E numbers BMW slang, it can be viewed as jargon.
Tom