I have a 2005 3.0d with 35k miles. No vibration at all through the steering wheel. Past BMW diesel experience says:
1) If it's worse at start up and until the engine warms, you may have lost one or more glow plugs;
2) If it's just bad all the time, there could be some imbalance in the engine management - possibly worn injectors, dodgy mass flow, partially blocked air filter - that kind of stuff;
3) Blueeagle's comments ring true also - it only needs one mount to have given up to cause a disproportionate racket/vibration.