Okay, since I've posted the review on the EBAY Fob that I got cut. I've gotten a few PMs and requests for the info on that place. Here it is.
East Side Locksmith -
1841 1st Avenue (95th & 96th)
New York, NY
They do a "trace cut" from another master key (or valet or whatever you have). I don't think they cut from Vin numbers. To cut a full master's key I was charged $20. But if you don't have a key block they may charge you a little extra for providing one (I can't imagine it being more than $30-$40 dollars for the whole thing).
Also if your current key is chipped then you may want to call them and talk to them about it. (I suspect they have "pre-chipped key fobs for certain types of BMW keys- of course this service may be alittle more pricey!)
Anyway...I thought the service was great. The old guy there cut my key in like 2 minutes...without questions or problems.
For you guys/gals out of town I suppose I would call them and see if they'll let you mail your current original key to them with a check or M.O., have them copy it and mail both the original and the new one back to you. Another thing you could do is get inside info from someone at your local BMW dealership. Those mechanic guys there know alot of local places that do stuff like this. (This is how I found out about this place.)