For my E53 I can usually hear the parking heater when it starts up: the sound is like the sound of very hot metal cooling (but is actually the exhaust heating up).
The heater exhaust is on the left hand side of the car, roughly located under the front seat. It is a silvery metallic object, about 12 inches shown in an aperture in the underside shields, with a distinct nozzle. If the parking heater is running you will see/feel exhaust from this location.