tsweers touched on this, but if you decide to get the KW's or any coilovers, you need to consider a few things. First, you MUST get the car re-aligned by a quality performance saavy alignment shop. If you just take the car to the general lube/alignment place you really have no choice on what they do. You need to research what the settings are, find a place to do the work, then figure that in the price.
I would bet money that to get the car into proper alignment, even with a reasonable amount of lowering, you will need camber plates, at least the front ones to get the car into spec. Factor the cost in for that too.
BMW's handle great from the factory, but a lot of the settings, especially ride height are set for the typical moron driver, not to take advantage to the beatifully engineered suspension geometry and chassis characteristics.