I just finished reading the 12 page thread on bf.c
about importing cars into Canada (parts of it were posted above)
If you read up to around page 10 or so you will see BMW Canada has finally relaxed it's money-grab anality.
You no longer require the BMW letter of admissability when crossing the border
You no longer require the letter of recall from BMW Canada. You can get it from a US dealer for free.
Of course, if you call BMW Canada, they will still say the recall letter is required from them for $500+tax (they may even say you need the admissability letter).
You will still have to make the modifications at BMW or maybe CDN tire I'm not sure about this and pass the 2 inspections, etc.