Yeah, tuning costs on a Bimmer are completely off the charts. My buddy put a full exhaust (header, high flow cat, and everything else) on his E46 M3 and it cost him like $5,500.

For that money I bought wheels and tires ($1,500), suspension ($850), Stage 2 ($900), CAI ($150), Exhaust ($600), motor mounts ($150), steel wheels with winter tires ($200 used), MP shift ball ($50), Boomba CC ($50), and I still got a grand to play with. On top of that, my SRT is faster than his M3 (although I wouldn't mind the RWD).