Just saw this thread. I've done about 20 brake jobs on BMWs over the years; I have 3 BMWs right now, and a 4th, an E30 I had for 18 years. All the cars are 3-series, or based on the 3 series.
I just replaced the front brakes on my Z4 2 weeks ago, so everything is fresh in my mind. So first tip is use
www.newtis.info and find the pad replacement procedure for the E85 Z4.
Now my tips:
If you are changing the rotors: BMWs use a rotor hold down bolt. Use penetrating oil on the bolt and let it soak. It's a 6MM internal Allen-head bolt. They can strip very easily because they get locked in-place due to corrosion, heat cycling, and brake dust. The best way to remove the bolt is using an air-impact gun. Second best is use a t-handle Allen wrench. Worst is using an L-bar Allen wrench. Don't use an L-bar Allen wrench because you'll most likely strip the head of the bolt. What you want to do most importantly is apply the torque to the bolt head straight down the center of the bolt shaft. Any side loading of the Allen head hex easily strips the hex because the bolts get soft over time. I usually get new hold down bolts just in case one strips.
The caliper locating pins are 7MM Allen head. They only require about 22 pound-foot of torque to tighten. They do not hold the caliper to the pad carrier, they just
locate the caliper (so it can float). Novice home mechanics usually way over torque the locating pins and deform them, which can let the caliper bind and not properly float.
The pad carrier bolts to the hub with 17MM-head bolts. The tightening torque is 81 pound-foot. Clean the pad carrier really well with a wire bush and brake kleen.
Clean the hub centric ring with a wire bush in a drill (if you are replacing the rotor).
The pad anti-rattle spring can fly off and hit you in the face. The best way to remove it is place a gloved hand over it, and with a large flat-blade screwdriver, place the screwdriver shaft on the hat of the rotor and push the anti-rattle spring up and out.
The calipers will be difficult to remove because there will be a lip on the outer edge of the rotor. The best practice is to open the caliper bleed screw with a tube going into a catch can with brake fluid in it to keep air out of the caliper. Then use a big c-clamp to clamp the caliper to move the piston side pad inward a bit. Then close the bleed screw. The caliper will come right off.
Clean the boot of the piston really good. Use a piston-push tool to reset the piston. I keep the old pad snapped into the piston. Again, open the bleed screw while pushing the piston back into place. Then close the bleed screw.
Do over do the brake caliper grease. You need only to lightly grease the end of the piston, the T-slots on the pad carrier, and the "forks" of the non-piston side of the caliper.
Finally, after many years of experience, I find it best to replace rotors and pads as a set. BMW rotors are relatively soft iron and wear pretty quickly.
Hope this helps.