Thanks everyone.
I shot an email across to Opie Oils and got some advice from them. They gave the following advice which I thought I'd share here:
The best fluids for the brakes and clutch are the Castrol SRF, Motul RBF660 and Gulf RF1000. The Motul RBF600, Gulf RF800, Millers 300 Plus and Fuchs Pro Race are close to those, but don't have quite as high boiling points. In reality, they are overkill for road use though. The next step down (in performance terms), but still an upgrade over standard are the Motul DOT 5.1, Millers 5.1, Pentosin Super DOT 4/Super DOT 4 Plus and Castrol React Performance. Any of the other DOT4 fluids we have are fine to use as a standard choice.
http://www.opieoils.co.uk/c-450-brake-fluid-clutch-fluid.aspx
If your gearbox suffers from stiff/poor changes when it's cold (as is fairly common with E46s), using a 50/50 mix of ATF and MTF is a good idea. Red Line MTL and ATF D4 or Fuchs Sintofluid 75w-80 and ATF 5005 are the ones that people commonly mix together in E46 gearboxes.
http://www.opieoils.co.uk/c-670-75w-80-75w-85-mtfs-manual-transmission-fluid.aspx
http://www.opieoils.co.uk/c-1432-atf-automatic-transmission-fluid.aspx
An ATF is basically a thin gear oil, so reduces the viscosity slightly, making the gear shifts easier. The combinations that I mentioned above are good enough quality so that even though the oil is a little thinner, there should be no reduction in protection. If you are not suffering with cold gear changes, just use one of the MTFs that I mentioned.
The standard open diff needs a 75w-90 GL5 oil.
http://www.opieoils.co.uk/c-673-75w-90-mtfs-manual-transmission-fluid.aspx
The Fuchs Syn 5, Millers CRX, Red Line 75w-90 GL5, Motul Gear 300 and Gulf Competition are ideal for the diff. The Fuchs Sintopoid, Castrol Syntrax Longlife, Millers TRX, Motul Motylgear, Mobil SHC and Gulf Syngear are also good choices.
I do not have the capacities listed for any of those, but I think you'll need about a litre of brake fluid and then 1.5L each of gearbox and diff oil.
I decided to go with the Castrol React Performance Dot 4 brake fluid, Red Line MTL gearbox oil and Red Line 75w-90 GL5 differential oil. I'll grab the anti freeze from the local dealer.
Best regards
Behr.