Euro Delivery is the way to go!!! The people at the ED Center treat you like royalty and sincerely appreciate your business.
I did it in April of 2003. In brief, at that time, you got a 7% discount on the BASE price of the car, All options are at list price. Some people have said they were able to negotiate additional discounts with the dealer, but I was not able to do so. The dealer gets a "kickback" payment for processing and delivering ED cars, but they don't make as much $$ as a straight sale.
You must put a deposit down, the dealer will ask your delivery time frame, and then fax the factory to arrange an actual delivery date. You must pay IN FULL for the car at least 4 weeks prior to taking delivery so you need to have your finances lined up well ahead of time. They also will need to photocopy your passport and fax it to the ED center. This is for your protection. The ED Center will require your passport and match it to the fax before they give you your car.
ED includes German insurance and registration for 30 days. You can visit most western European countries, but as I recall, there were some exclusions. Check those if you plan to drive in eastern Europe.
Transportation and tour arrangements are ENTIRELY up to you. You may choose to use a travel agent, your own or one recommended by BMW (Conde Naste), or totally plan and schedule your trip as I did. They are running the Lufthansa promotion with the 2 for 1 deal, which is great. Lufthansa is a superb airline.
You can drop off at many locations. Once you leave the ED Center, you own the car, BMW ED Center is for the most part no longer involved. They have prearranged for EH Harms, their shipping agent, to handle the shipping details. You arrange with EH Harms where and when you will return the car. The Munich location is about 10 miles from the ED Center. Obviously, your airfare arrangements and costs are best when you do a round trip flight to Munich, but you could fly into Munich and drop off/fly out of Rome. Your car may be trucked or driven (!) to the nearest EH Harms shipping port. If you drop off in Munich, it goes on a truck with other cars and winds up on the same boat that all the brand new bimmers are on, out of a North Sea port.
The hardest part is coming home and waiting for 4 - 6 weeks until your car gets here! The weirdest part is picking up your "new" car at the local dealer and signing papers saying that they have imported a USED car for you, because, from an importation and legal viewpoint it IS a used car.
If you have any questions about the process or things to see over there, feel free to ask! Just to get you in the mood, here are some pictures.