Just had mine in for the same sound, hoped it was a wheel bearing, turns out it was the rear diff that has gone BANG! Cost? Well, £1,750 for the part from bmw and £450 for the garage to fit it and 2 x litres of oil at £24.99 per litre! Ouch, last time this is happening to me... I am not spending any more money on her...

__________________
BMW X5 E53 3.0 Diesel Sport | Sapphire Black Dakota Beige Leather interior | Year 2004

What I had updated
Carbon Effect Steering Wheel
Panoramic Sunroof Fix
PVC Replacement
All glowplugs and glowplug regulator
New discs and pads all round
All new front suspension links, bushes and rods