well here is the deal. calipers are really really expensive. what stops your car are pads and tires pretty much. but what stops your car, then stops it again with no fad, are slotted and/or cross drilled rotors, good calipers, good pads, good tires, and good lines. zimmermann rotors are a good deal, and brembo rotors can be found at a decent price as well. brembo calipers will, however, require a second morgage. as for pads, well i don't know much about pads. ebc greenstuff are regarded as awesome pads, pagid are so so. vlad mentioned hawk pads are great and have minimal dust.
of note, BMW comes with AWESOME oem brakes, so don't cop out for a cool looking rotor.
just my $0..01 (yes, only one cent)