I imported a Z4 in the late fall of 2012. Thanks to everyone for all the advice on the forum.
I purchased my used car from a BMW dealer in Detroit and mostly it went well. The dealer committed to provide a recall letter, but in the end didn't and emphatically refused to provide on satisfactory to RIV. Essentially they said they were concerned about their franchise (I can only speculate why they took a position different to what other US dealers take). The other issue was that I could not get Michigan to issue a temporary permit to drive the car into Ontario. I asked at MTO what to do and they called MI who confirmed that they would not issue the permit (MTO could not understand this, but that was their final position).
In the end, I paid the $500 to the Ontario BMW dealer for the recall letter (after trying several options that all failed). And I rented a U-haul trailer and transported the car home myself.
Overall I saved a lot of money, but it was more of a hassle than I expected. From forum comments, it seems like most people are importing from other states so perhaps that improves the odds of avoiding my two pitfalls.
Best wishes to others seeking a better price stateside.