I've done 3 Euro deliveries so far: 2005 X3, 2007 335i and 2009 M3. I've started planning the fourth one this summer for an X1.
It is an absolutely incredible experience, they make you feel special at the Welt, you bond with your car in a way it's simply not possible when picking up in the US, and you get a hefty discount for it too.
It's the best way to buy or lease a new BMW, bar none.
2009 E90 M3 ED
2012 MINI Countryman S