If this is your first modern manual BMW, could be something as simple as the transmission's CDV valve. That takes some getting used when shifting if coming from other makes, and is also a very quick and easy delete. Going down this hole, could be something bigger like a worn flywheel (BMW's use a giant dual mass flywheel; when it wears, it can start "thunking" when shifting). I'm guessing at this point you're well over 100k miles, which gets you into clutch replacement territory.

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Rusty, Beater 2001 X5 5spd

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2017 VW GTI
2001 E46 Wagon (manual of course!)
2000 VW GTI (I see a pattern emerging)
a Saab, and a couple Volvo's thrown in for fun

steve at ogracing dot com