BMWRocks et al, it depends which model you have. Appears most of ya'll have coupes. My friend and I both have sedans ('03 and '04) and it takes about 20 minutes each side to do. Below is a write-up my buddy Matt did (gotta give props where it's due). BTW, on our sedan the fog light bulb type is H11. We both bought the xenon matching bulbs from
http://supremepowerparts.com/ ($30 for two bulbs). All though your set-up may be different, some of the steps may apply.
Here is a pic showing OEM (left) vs Xenon-matching (right) fog lamp bulbs.
Enjoy
Step 1: Turn the sides wheel that you are working on all the way towards you. (If the car were moving it would drive into you)
Step 2: There are 4 screws total and 1 pushpin thing that need to be removed. Two 8mm screws on the top of the splash gaurd and two on the bottom of the bumper. The push pin expander thing is on the top of the splash gaurd nearest you. To remove that pry the smaller black part out slowley and then the rest should follow.
Step 3: You need to remove the splash gaurd, I was not able to do this fully on either side but was able to jiggle it around enough to be able to gain access to the bulb. You will notice where you removed the bottom screw nearest you is a tab directly to the front of the hole. Push that pin up so you can slide the splash gaurd back towards the wheel well. You'll need to pull the bumper a bit to get the sides of splash gaurd nearest you out. (All this should make sense when you are looking at it) Important to note there is some sort of temp gauge or something on the bottom part of the drivers side splash gaurd so be careful. The wire behind the splash gaurd for the temp gauge has plenty of slack though.
Step 4: You'll sorta have to slide your arm in the gap that you created to the bulb. Twist the bulb (sorry can't remember which way) You'll feel the bulb come loose, pull out the bulb. Now the wire connected to the bulb has two tabs on either side that need to be unclipped or lifted so you can slide the bulb from the wire. You'll see what I am talking about. Change out the bulb and repeat for the other side.