I use Mobil 1 0w-40. Not as thin as the 5w-30 recommended stuff, and provides some damn good protection after startup and for tracking/very hard rev situations.
http://www.mobil.com/usa-english/lub...il_1_0w-40.asp
It is ACEA-A3 approved which means BMW have no issues with it. I called BMW Assist when I got my low engine oil light just to be sure the 0w-40 would be OK. They said they recommend 5w-30, so 0w-40 only provides better protection.