Congrats on your M3 you're going to love it.
Great info Pinecone. Even thought the M3 will tell you when it's ready for an oil change, I've never gone by that I always change my oil around 7k miles. It's just a little reassurance that I'm taking care of my babies.
philip-pino when you're ready for you first oil change check out my oil change kit for the E46 M3 found HERE. It includes everything you need; oil, filter, new gaskets and washers, and a new drain plug.