That all depends but it certainly shouldn't shift with a bang.  My '04 took a while to learn my driving style and shift properly and there would times it would seriously lag or ramp up the RPM's excessively before finally shifting in a less than smooth manner  . Over time both it and I learned to shift in sequence with each other. I'm still working on breaking in the engine on my '06 and so far I haven't had any problems - though the same "odd shifts" that I experienced while it learns my driving style are happening again. I also drove a friends '05 and she noticed a significant change in its shift after I drove it for a bit (I drove it far more aggressively than she does).
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MWBBMW
2006 X3 3.0i Highland Green Metallic, Sand Beige Montana Leather, Steptronic, Premium Pkg, Cold Weather Package, Privacy Glass, Xenon Headlights
2007 328i 6-speed, Black Sapphire Metallic, Sport package, Black Leatherette, Heated Seats, iPod & USB Adapter
If God had intended man to walk or fly, he would not have made BMWs!
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