I sold my '03 Jetta GLI (vr6 2.8 L manual 6-speed) after I bought this. It's not really "fun" to drive like the Jetta; just better on long business trips. Probably a 330i stick would be more what the OP is looking for. I get 31 highway / 21 city with mine (automatic).
There's some basic info here on the e39:
http://en.wikipedia.org/wiki/BMW_5_Series_%28E39%29
Bimmerforums.com has been really helpful. Shouting props to Pelican...I do buy my parts here. Mine's the 3.0L six (M54) like pictured below:
