I use this feature all of the time and it is great. If you are going to pop into the kwik-e mart and pick up some things or do a quick grocery run you can safely turn the engine off, hit the rest button and leave the car. When you come back the inside of the car is warm! And it is safe to leave it running too because the car will shut it off when the heat is lost and before the battery is drained. Also great when you are waiting at the train station to pick someone up and its freezing outside...no need to run the engine anymore to stay warm!
It has two "modes" as I like to think of them:
1. Engine off, accessory power on -> you can adjust the fan speed and direction in this mode, great for when you are parked in the car waiting for someone on a cold day because you can control how much heat you get and still listen to the radio
2. Engine off, all accessory power off -> in this mode you can't control the fan speed because the car is completely off but BMW wisely set it so when the REST button is pushed it blows MAXIMUM fan speed with all vents enabled (if memory serves me correcty). Perfect for leaving the car and coming back to a nice toasty interior
Honestly think more cars should have this mode.