What's your definition of 'warm'?
Even the southernmost areas of Europe don't get particularly warm in March. I've just checked the BBC website for some average daily maximum temperatures. The March figures for southern Spain, southern Italy, southern Greece and Cyprus are all around 16C to 19C. (Those are the roughly the same temperatures which southern England has had for the last few days. They might seem 'warm' for England in October but I'm not sure that they're what most people mean when they want a 'warm' holiday destination).
To find temperatures above 20C, you'll have to head further south. The most popular destination with cheap flights and hotels has to be the Canary Islands.
An interesting alternative, though, might be to consider Marrakesh. Ryanair fly there from Luton, with a journey time of just over three and a half hours. (For the random dates in March I just tried, they're currently quoting �82.25 return, including taxes & charges). Typical maximum daytime temperatures in March are around 23C. The airport is only 4 miles (15 minutes by taxi) from the city centre.
Flights from Luton:
http://www.ryanair.com/site/EN/
Basic information:
http://www.morocco.com/destinations/marrakech/
Hotels:
http://www.res99.com/nexres/search/search_resu lts.cgi?interstitial=done&src=10007645&lang=EN G&city=marrakech&state=&country=MA&tab=tab0
Chris