I did a lot of research on the topic of oil and came to the conclusion that Royal Purple was my choice. Even after running Mobil 1 synthetic forever. I read every post on Bimmerforums and just about every Google hit on the topic.
The initial recommendation to me by them(RP Engineer) was 10W -30, living in the Southeast. The particular guy I spoke to, races in GT3 SCCA competition. So he has some experience to say the least. They say to run the thinest oil your car can take. If consumption was noticable, then go up to the 5W - 40. My car doesn't consume much, if any, which I was surprised after reading about other M3's. It didn't consume a drop after a weekend at VIR full course.
The cost is not much more than Mobil 1 but a heck of lot less than the BMW Castrol 10W - 60.
So start with 10w30, then go to 10w40 or 5w40. Penn YB and V WB are also excellent choices as well as PP and V synthetic. So PP, V/S or RP would be my choices. Thick oil does not necessarily lube better. You just need oil of sufficient tenacity and film strength, and anything thicker just makes the engine more sluggish, but does not prolong its life.