I just went through this whole process but I had some great help. I imported a 2005 330 vert. I found the car using Sportscarlocate.com Dan at SCL found the car, scrutinized it thoughly before any further steps, verified it was legit, organized PPI at a nearby BMW dealer where the car was being sold, negotiated a low/fair price, organized shipping through a secure and reliable carrier, smoothed all the red-tape involved... and there is ALOT! He charges a fee based on the price of the vehicle which I think was fair. After paying HST, customs, shipping and his fees, I came in about 5-10K lower than anything I saw for sale in Canada. Further, I got a US car that had a rare ZHP package (also 6 speed manual) on it that exceeds the Canadian version for performance etc.. It was a great experience.
I also could have travelled to bring the vehicle over the border myself but this would have added to my expense as well as the fact that it was late winter and I didn't want to risk bad roads/weather. I'm sure there are others ways of doing it but for a 'newbie' it sure made life easier.