I changed my oil and filter today as the car is at the mid-point between services and i wanted it in tip top form for the Ring/Spa trip next weekend.
This was going to be a full 'how to' with photos but i found loads of similar stuff online already. So, i have simply listed that here for others to have easy reference. I found this a very straight forward job and it took about 45 minutes to do.
It was a fair bit cheaper than a BMW oil service too:
6 Litres of Castrol Edge 10W-60 - £56.65
BMW oil filter change kit - £11.43
Here are a couple of links that i found useful:
http://www.m3forum.net/m3forum/showthread.php?t=34365
http://m3.madrussian.net/diy_oil_change.shtml