I got my Icelink Plus yesterday in the mail and took about an hour and a half to install in my 2002 325i. The hardest part of the whole process is fitting everything behind the radio since there isn't much room back there to begin with. All I did was disconnect the battery, pull out the radio and disconnect it, connect the Icelink cable (which is like an extension cable with a smaller cable for the iPod adapter), connect the iPod adapter cable, then put it back in.
The sound is so much better. You see the song info on the iPod (my mount is beside my radio), the steering wheel controls do work, but no, you can't see the song info on the radio BMW radio. You can only do that with a few aftermarket radios, like Alpine and Pioneer. The manual said there are some adapters for OEM radios that will make the song info appear, but haven't had a chance to look into that.
I do like the Icelink, though, it fits what I needed. I want easy access to my iPod since I take it out of the car when I get home and plug it into my home stereo. I haven't had a chance to mess with all the features, like the playlists and stuff, but I will be doing that today. I highly recommend it if you want to have a clear sound, access to the iPod, and steering wheel and radio controls.