In the first 1K or so miles of an engines life, the speed at which it turns should not be constant for an extended period of time, say, not for more than half an hour. So..for best results you shouldn't make any hour+ trips in your new bimmer until after the break in period. What happens is that driving at a certain number of RPMs causes the oil to sort of bunch up in certain places in the engine. However, when your engine is brand new, this will cause some staining and possibly burning of the areas that the oil likes to sit (that's the 80 foot view of it).
I will also tell you that a friend of mine just recently picked up an '05 325xi on a lease. The dealer however made no mention of a break in period to my friend. Take that for what it's worth. It's possible that BMW has made such advances as to not require a break in period, but personally, I'd heed my words. You're talking about the rest of the life of your vehicle.