If I was on a small budget (under $20K), I'd probably look seriously at the Honda Civic Si or the new Scion tC. If I had to stay under $30K, I'd go look at the Subaru Legacy GT (and the Saab 9-2X Aero as a more luxurious WRX), the Acura TSX, and maybe a Lexus IS300. The WRX STi and Pontiac GTO are both slightly outside your $30K budget, but are close enough to be worth consideration if you want lots of power.

If you're at all serious about a BMW, make sure you talk to local BMW owners and ask them about their service experiences. BMW build quality, the quality of your local service shop, and ultimately your blood pressure may vary significantly.