A loose list of maintenance "gotchas":
* Expensive, rare oil (Castrol 10W-60) (not really a reliability issue, but it is something to note)
* Valve adjustments, or rather, verification and re-shimming as necessary. I believe that the interval for this is more like every 40k-50k miles -- certainly not every 20k. It is within the reach of a competent DIYer with the correct parts and some borrowed tools. Inspection II, which includes the valve adjustment, is a $1200-$1500 service. If you're just doing the valves, it is probably cheaper.
* Rear control arm bushings, rear trailing arm bushings should be replaced at ~70k miles depending on age and driving habits.
* Rare cases of rear subframe cracks. The M3 has a stronger rear subframe setup than the non-M cars, but there have been a few reported incidents of this occurring. BMWNA has been good about covering the repair provided the car is reasonably stock, though.
* VANOS (stepless variable valve timing) failure. I have heard reports of the filter being clogged (cheap), the solenoid failing (reasonable), or the whole unit requiring a rebuild (very expensive). Doesn't seem to be too widespread though.
* SMG pump failue, for cars with the Sequential Manual Gearbox. This is a 70k+ mile problem, but if it does happen, it is pricey (I heard one $2000+ story).
* Rod bearing failure. Needless to say, BMW recalled and replaced the bearings (or in some cases, the entire motor) on the pre-03 cars. Shouldn't be an issue unless the car didn't have the recall performed, or is oil-starved for some other reason.
That's all I can think of off of the top of my head. Luckily, I have been fortunate not to have any of these problems, although my car is a low mileage (24k) example. Knock on wood, fingers crossed, and all that.
Modified by Shivatron at 4:31 PM 3-3-2009