Buying a BMW can be frustrating. Lots of dealers are a$$hole$, and want you to believe that their cars are only sold for sticker. However, this is not the case if you are willing to work a bit, be creative and be flexible. First, I would suggest checking out
http://www.eurobuyers.com . Here you can get complete invoice prices for all Bimmers and all options. You can also use Steve Diamond as your consultant to help you buy the car for the right price. He will charge $350 to negotiate a deal for you. Lots of people have used him with success.
If you want to do it on your own, however, try the Rizzo method. Check out this site for a description.
http://www.e46fanatics.com/faq/rizzo.html. This, of course, could work with any car, but if you really want a BMW it is a good method.
Finally, if you are willing to travel, you can do even better. My wife and I have been planning on going to Europe for some time. We are going to go to Munich this fall to pick up my new 325xi. Check it out, its an amazing way to buy a car. Nearly everyone who does it raves about it. Let me know if you have any other questions.
Bill