Heh, the beautiful thing about bmw's is just how notoriously difficult they are to get into, let alone steal. simply put, without the key, the car isn't moving.
A few years ago my '91 735 decided it would be a good idea to just lock me out for no good reason... Now the driver and passenger windows were both halfway down, to the point where you could get an arm in, but not a body... and I had all the keys.
Now, the car was formally locked before it decided not to unlock. The keys would do nothing, both manually inserting them and with the wireless entry.
Trying to pull the door lock also did nothing.
At one point, I literally taped a key to a hockey stick and tried to start the car via the side window... That just pissed it off even more, thereby setting off the alarm (a sign that there was still power in the car) and completely screwing me over.
I called bmw, but they had no idea how to get inside.
I finally got the car in neutral (see: hockey stick again) and towed it to my trusty mechanic who spent THREE DAYS trying to get in. He eventually succeeded by forcing the side window down, climbing in, and taking apart the backseat to get to the battery. (7's really make it difficult). He replaced the battery which was ultimately the root of the problem.
But he did say this: BMW's (at least that one) have several redundant locking and security systems and if one of them is triggered, they all lock down. The doors have two seperate locking systems: a regular lock and a secondary deadbolt, which can't be moved using traditional car thief methods (ie- classic coathanger through window, breaking the lock cylinder, etc). Now, once the car is locked from the outside, it also can't be hot-wired, or even started for that matter, even if you have the key in the ignition. Also, if you set off the alarm, you can't do anything until it's unlocked.
Now, my E39 (along with the rest of the new bmw's im sure) also have the added bonus of tilt and elevation sensors. So basically, if the car is locked and a thief tries to steal it by towing it or throwing it onto a flatbed, the alarm will go off and again, lock down the car.
All this work makes a theives job exceptionally time consuming and highly annoying. Now, im sure this is the same with the other luxury brands and that's why people steal honda's and caddy's and not BMW's or Mercs.
Ultimately however, if a thief really wants your car, he'll get your car; but he'll have to go through hell to do it.