A common misconception with E36 M3 owners is that upgrading the factory cat-back muffler with an aftermarket system will provide tremendous performance gains.

When upgrading an exhaust system on a 1995 M3, pay particular attention to the size of the inlet tubing.  If you get an exhaust with at least a 2-1/4" inlet tubes, you will be gaining flow.  Any smaller you will not be benefiting the car dramatically.  The stock exhaust system from a 95 M3 weighs 45 lbs.

In 1996, BMW improved the exhaust on the M3 by increasing the inlet tubing size to nearly 60mm.  Even for a 1995 M3 owner, upgrading to a 1996-99 M3 exhaust will give you more flow without increases in sound.  The stock exhaust system from a 96-99 M3 weighs 49 lbs.

Many aftermarket cat-back exhaust systems promise more sound, which is easy since most do not have the size/volume of the factory system.  Thus, they have the ability to dampen less sound.  However, pay particular attention to the inlet tubing size to ensure that you're not trading sound for flow.

Weights of aftermarket exhaust systems can vary from 25-35 lbs.  Granted, all are lighter than stock, but not all are created equally.