I've replaced both my front wheel bearings about 18 months apart. The first time my pass side went bad and recently replaced my driver side as a preventive measure since my X has + 200K. I was quoted around $800 (one side) but decided to DIY. I removed the wheel hub and took it and the new Timken bearing to a shop and had the old pressed out new pressed in for $50. I recall I paid around $50 for the bearing at AZ. You can find F.A.G (OEM) online for around the same price.
Both Dave and Ricky Bobby here have delved into a full R&R with good success.
Here's one thread:
http://www.xoutpost.com/bmw-sav-foru...aring-r-r.html