[StickMon]

I check ECS Tuning first, because I like the fact they have pictures of everything.
They also have some of their own aftermarket parts like a magnetic oil drain plug that are cool.
In some cases, they offer both the BMW OEM part, and the same part straight from the same manufacturer that BMW gets them from, but without the BMW mark-up.

For OEM parts, though, I also get most of them from getbmwparts, A.K.A. Tischer.

I recently bought some stuff from TheBMWPartStore. Not exactly snappy delivery, but good enough and the prices and shipping are the lowest I've seen.

I found a good source for OEM bulbs cheap is RMEuropean.