The E46 M3 and E86 Z4Ms are the same platform but man they are very different.
Both excellent cars and would have either again. Depends what you want. With the M3 you cant get away from the fact its a fast saloon not a sports car although does a decent job of bridging the gap. The Z4M is rawer in all aspects and is no where near as refined, compliant or as comfortable. Mostly because of the fact the seats are over the rear axel and you sit so low, in the E86 the ride is very similar to the ride in the M3 but in the rear seats. In the E46 its far more comfortable as you sit almost in the middle but that also means you dont get the same feel.
Some people love or hate those differences. The E86 took me a while to get used to but loved it.
You can see these things as positives and negatives. The e46 m3 is one of my fav BMWs of all time but the Z4M is a very close second.
Paper to real life is vastly different.
That being said I would have an E46 M3 for family duties and an E86 Z4M for the weekend all day long. Great combo imo...
The two I had.
BMW Z4M Coupe, Ulswater Boat house, Cumbria by
Tom Scott, on Flickr
BMW E46 M3, Alston, Hartside, Cumbria, CSL wheels by
Tom Scott, on Flickr
Thats if 911s didnt exist...
Porsche 996 Carrera 4 S Convertible, Lowther Castle, Penrith, Cumbria by
Tom Scott, on Flickr
Porsche 996 Carrera 4 S Convertible, Lowther Castle, Penrith, Cumbria by
Tom Scott, on Flickr
TBH I was always anti the roadster, now im a bit older I appreciate it much more and for the cost difference the M coupe is gorgeous which to me is the main draw. That being said it is super claustrophobic, boomy and if anything the aural experience is no where close to the roadster. I didnt even know how much noise the coupe made until I was photographing mine out the back of another vehicle with my dad driving, the induction noise is very loud outside the car.
BMW Z4M Coupe, Silver Grey, CSL wheels by
Tom Scott, on Flickr
I dont think the coupe is so much better that it asks 3-40% more than the equivalent roady. If you want an M the roady is the bargain atm and like the Z3M will take longer to get there but will certainly appreciate too.