Hello!
I am just back from a wonderful trip in Europe where I took delivery of a 2006 530xi Sports Wagon and I thought I should share some thoughts and pictures as a thank you to this forum for its help.

First things first: Disclaimer! It is my first BMW as well as my first high-end car, so be warned.

Let's start with the car. It is awesome. The car is so stable you can run through a water depression at 160kph and you barely feel it. Woow!
BMWs are not so original in Germany though. You don't feel so special there. I was surprised to notice many wagons too. Nearly as many as sedans!
Now the options:

• Sports Package: I like the black shadowline. I think it looks better with darker color like the Titanium Gray I ordered. I found the sport seats to be pretty stiff and the lumbar support to be quite uncomfortable over long distances. I couldn't quite find a comfortable position... Note this package doesn't include performance tires on the touring version by default.
• Premium Package: Ordered it mostly because leather seats were required to get the Sports package. Automatic tailgate is kind of cool though.
• PDC: Very useful! A must-have to park in Europe!
• NAV: Even more useful! I had a few problems with road works and/or new roads but I seriously cannot imagine the stress I'd have gone through traveling the 5000km I did with paper maps!!! The Europe Road Map DVD worked great (it's for sale if you're interested).
• HUD: Now that is cool! I love it. I just wish the RPMs were displayed on it as well.
• Manual transmission: I wish I could have ordered SMG, but only the xDrive model is offered in the US and it seems to be incompatible with SMG... Anyway, manual is still pretty nice. I found the gears very close to each other in ratio. I rarely could find use for the 5th and was a bit surprised at how high RPMs the 6th gear runs at 130kph. It's nice for acceleration but I was worried it'd suck up gas. Mileage was pretty good though around 30mpg.

Trip-wise, I visited all Bavaria (Munich, Romantische Strasse, Rotherburg, Alpenstrasse, Garmit-Partenkirche, Neuschwanstein, Linderhof, Nymphenburg, Ulm, etc.) for a week, then went to Prag for 4 days, and finished with Alsace in north-east France (Strasbourg, Colmar, wine road, Scwartzwald, Baden-Baden, etc.). I dropped off the car in Paris CDG airport. It was a sunday and they didn't have my appointment in the computer so I freaked out a bit but they sorted it out.

The weather was pretty harsh on us at times + we got hit with horrible gas prices when we were there, but we had a great vacation and I was overall very pleased with the BMW experience.
Thank you for all your precious advice!