That's a lot of questions! I special ordered my current BMW, so I'll try to answer based on my own experiences.
1) BMW is VERY accomodating for people who want to special order their cars (although I suspect some dealerships promote it more than others).
I went directly through Internet/fleet sales at my dealership to order my car (highly recommended). As that salesperson didn't live or die based on cars sold from the lot, they were happy to help me order my car after making sure that what I wanted wasn't available (and I walked in there with a list of *exactly* what I wanted on my car). For pricing, we used the Costco price (which mandated a specific price). *NOTE: Costco prices are always set at $X above the dealer's invoice. Further negotiations are possible, but be prepared to know A LOT about the car.) All dealerships have a certain number of slots per month for car orders from BMW, and the bigger dealerships TEND to have bigger allotments.
2) My car is a 2007 3-series, which experienced a minor revamp from the 2006 3-series. I got the Costco price, though, so I didn't see any artifical markup, since Costco negotiates directly with BMW dealerships to set the price based on local market demand. Direct negotiation might serve you better, but be prepared for a first year car to not be as negotiable as a car that's been out a while or has not had a revamp for a while.
3) I placed my order in late October, and took delivery late December. If you want to see a LOT of feedback on timing of factory orders, go to
this thread for a lotta info (for instance, I was able to track my car by phone until it shipped, then track the ship using the e90post forums!) YMMV, but just make sure that you get specific info from your salesperson about exactly what month your order was placed, and make sure you have a Production Number the same day you put your deposit down (I got mine the same day, anyway)
4) I put $1k down, but it basically was my first payment and fees, and I could have gotten it back at any time (even after my car arrived) if I decided I didn't want it for some reason (like it was too late). You might want to find out if they have an option for you to lease (MTM) a used car from the dealership in the event that an ordered car is late (my friend did that when his special order 6-series coupe was delayed), but that probably would depend on the relationship you have with the dealership...
As with anything, YMMV depending on your dealership and salesperson. I had an absolutely wonderful, smooth experience ordering and receiving my special order car (I REALLY wanted terra leather - relatively unique!), but as the link I put above shows you, not everyone has such a great experience.
I hope this info helps!