It really all depends on the kind of driving you are doing.
Sedate, calm city driving I usually shift between 3k - 3.5k. I am sure I will get some opinions on the next: when the speed limit is around 35 or 40 mph, I will sometimes even skip 3rd gear (2nd gear gets me up there easily) and go right to fourth for traveling.
Shift at higher rpm's if you want to accelerate more aggressively; lower if you want to save on gas. However, I have noticed that my BMW really likes the higher RPM's than, say, my pickup truck, which I usually shift 2-2.5k when doing easy acceleration.