I have a ZCP which came with the CSL wheels and I thought they were pretty heavy.
I have since opted for a set of DPE MT20s which actually happen to weigh ~20-22 pounds which is actually lighter than stock and half an in thicker all around with the same staggered setup. So being 19x8.5 and 19x10. Thats what you get when you spend 5k on a wheel though. I also got a set of Bridgestone Potenza RE-11 with 245/35 and 285/35. Making for a pretty harsh ride day to day but damn do they grip. The RE-11s are a pretty heavy tire so I didn't notice a difference.
When it comes to performance I have noticed a significant increase in cornering ability mostly due to the tires and suspension setup. Negative camber up front (-1.5) reduces the understeer significantly and sharpens steering response. Along with fully adjustable sways allows for dialing every little aspect. It all comes down to what you want and are willing to spend.
For the most bang for your buck setup, a square 18" setup with coils at or slightly below (<1") stock ride height, stiffer and adjustable sways, poly FCABs, with the pins taken out of the stock camber plates for -0.5 camber is the way I would go. Better ride quality, less unsprung weight (compared to the 19s), sharper steering, and a more balanced car that won't understeer all over god's green acre into a tree.
Side note: "Lowering" an E46 M3 won't really help but reducing the center of gravity will. However you want to make sure not to make put the center of roll below the ground, possibly having negative handling effects.
05 e46 M3 IR SMG CP
(PSS10, TMS Sways, TMS Camber Kit, DPE MT20, TMS Carbon Fiber Intake, TMS Power Pulleys, HPF Oil Cooler, V-CSL Front Bumper w/CF Lip, CF Fenders, GTR CF Hood, CSL CF Trunk Lid, CSL CF Diffuser, Remus Race Exhaust, 3M Carbon Fiber Roof Vinyl from Beyond Graffix