My vehicle is a US-spec 2011 335d. The engine is the M57N2. This is probably not the same engine as the Euro spec. Ours is rated at 265hp; I think the Eurospec is 286hp. As mentioned above, the car has an abundance of torque, basically always at hand. It has a different sound. From the cabin it growls; from the outside it is rather quiet. My mileage is as shown below. Thats an average of 70% city 30% highway. The best I got over a mostly highway trip was 37.1. I think it is capable of around 40mph, but haven't had a series of all day driving on the motorway. People with around 50K or so on the odometer have had a combination of injector and carbon buildup issues and so other emission-related issues. No final consensus on cause or remedy. Some thoughts are (1) drive it hard; (2) have intake cleaned (i.e., walnut-shell blasting) at around 40k; (3) use the best fuel you can find; (4) maybe use a good fuel additive (but be careful which one you pick because our vehicles do not have a water separator/remover).
Frankly I love the car. I drove the 335i sport and thought it was great, but wanted the diesel. As has been said, you can really turn the thing into a monster if you want for not that much money. In the US the max cost just for the tune alone would be under USD 1300. And you can get some of the reputable piggyback plugins for under USD500.
Mods-Etc: Quaife LSD w/VAC finned diff cover, M3 Rear SF Bushings, M3 sways & OEM Susp Front/Rear Cmpnt Kits ('cept strut brace), GC Caster/Camber Plates, AC Schnitzer M3 Sport Springs, JRZ RS1 dampers, JBD 100%, Goodrich SS brake lines, non-stggrd APEX ARC-8 18" wheels with Nitto Motivo tires (winter OEM 17" wheels and Blizzak LM-25).