My '98 328iS goes around 9K before the lights are off. My logic on this topic was the car manufacturers want your car to wear out so you'll by another car, but the lube places (who recommend changing at 3K) want to sell more oil. So, I figured I'd meet them about half way, and usually change my oil and filter about half way through the green lights (~4,500 miles) and again when indicated by the lights.
OK, so it's not quite half way, but it makes me feel better.
I've also heard people just change the filter at half-way and both the oil and filter when the indicator indicates.
I'm buddies with a BMW master tech, and he says that if you use synthetic oil (as recommended) you shouldn't have to do anything until the service indicator says so. Then, when asked what he does on his BMW, he says he does it at the mid point of the service interval as well. So go figure.
The only thing it hurts to do it more often is a little bit in your wallet, I figure.
Also, it's definitely better to use synthetic oil, whether it's recommended or not.