Also, before you buy, you should contact a guy named David Avilles. He's a forum sponsor, and he will -- without question -- give you the best no bullshit price on a new BMW:
http://www.m3post.com/forums/member.php?u=10189
If you're even remotely considering doing something like PCD or European Delivery, you could buy from him without any additional cost. I recently went through a quoting process with him for a new M3, and I could not have been more pleased.
Before you sign on a new car, use the configurator at BMWConfig.com to price out your car:
http://bmwconfig.com/BmwConfig/Config.aspx. If you get a price quote that is more than $1000 over US delivery
invoice, you're paying more than you would through David or some of the other forum sponsors.