The BMW dealership will want to blow a great big hole in a $1000 bill but a local shop will be able to do the work much cheaper.
I'm looking at the Bavarian Autosports catalog (
www.bavauto.com) for reference. Another outfit, Autohaus Arizona (find via Google), is usually cheaper.
Rotors: 4 @ ~ $70 = $280
Pads: 2 sets @ ~ $55 = $110
New sensors: 2 @ ~ $15 = $30
This comes to ~ $420 for parts. You can expect to pay about 1 hour labor per axle, say $130, which would bring the TOTAL UP TO $550.
The local shop may have a supplier who can provide the parts cheaper. Also, maybe they can turn the rotors smooth again instead of replacing them. However, I've read that BMW rotors are thin and should be replaced, not turned, but I'm not an expert.
One more thing. Make sure they use the right brake fluid. Look in your owner's manual or on top of the reservoir itself for the proper fluid. You probably need DOT 4 or DOT 5 fluid; DOT 3 will eat your seals away.