Your wheels might not be balanced (maybe threw a weight?)...also the rim can get bent and even though they can be balanced, you'd still feel it.
Then there are those things you didn't do anything about yet...struts/shocks...tie rod ends...that sort of thing.
I chased a vibration for about two years until I discovered the inside rim of my front wheel was bent...and I discovered it because the guy balancing my new tires noticed it on his slow speed balancer. The high speed (expensive) balancing machines can spin the wheel so fast you wouldn't notice the hop in the rim...but if you lift up your car, spin the wheel and look for a hop, you'll see it if it's there. If so, try moving that wheel to the rear where you won't notice it so much. Technically, you'd keep the tires in the same corners they're at now, as bmw doesn't recommend rotating tires.
I'm so depressed. No one wants to come see me in NYC: Sat, Oct. 8, 6 p.m. at Greenwich Village Comedy Club.
Mangofy your E46!