Well, I went to the dealer to get it checked out. For those of you that have the same problem I did, here's how to diagnose it...
1) Enter vehicle and shut door, make sure all doors are unlocked
2) Stick key in ignition, turn it to the last position before "start"
3) Count to three
4) Pull key out
5) Hold "unlock" for 3 seconds
6) Press "lock" three times, gently
7) You will hear doors locking
8) Get out, wait a few seconds, and lock vehicle.
Took me about a half-hour to get this mastered. Just to be safe, double check with your local BMW dealer before you do it yourself.