I know this is an old topic but I thought I enlighten those trying to scare you with baseless assumptions about the potential risk and damage a chip could cause. Unless you are buying the cheap rubbish from eBay you are most likely totally safe mechanically. I am personally looking at chip tuning the x20d and almost all tunes take it from 184bhp to around 220bhp.
When I say all tunes I mean the BMW approved AC Schnitzer tune too. This tune doesn't even invalidate your warranty ! Guess what , it doesn't require brake or gearbox updates !
You can find it here :
http://ac-schnitzer.co.uk
Obviously it's £2000 compared to £300 for race chip. Because it's BMW approved. From a tune/code perspective there is very little difference between that and Race Chip. Both still will be stopped by the ECU against oberboosting or damaging the engine in any way.
Insurance, yes you should tell your insurance company. For the rest of it please stop the misinformation . If you think you will crash with an extra 40bhp, maybe time to stop driving and get a bicycle.