Well, if you're talking about regular maintenance parts such as all the filters, i generally buy all of my products from the dealership. You are guaranteed the best fit imo.
If you're talking about performance parts, then thats a different story.
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I work at a car dealer as the Service Mgr and I found THE best price around for E46.
.. I deal with Red Stallion supplier whom use to be S\Mgr at BMW in Miss>> Hastings OF=$6.75 includes cartridge, O-ring, dp gskt.. Air filter= $22.85 They parts are equivalent to Mahle brand and have had NO probs with fitage..Perks of the trade, but if someone wants to do a group buy..I'll ask>>>