You're asking about the 3rd generation nano. Right? That one is not "officially" supported by BMW but, from what I've seen, BMW has not updated their supported list since March 2007...
Assuming that you are talking about that model, on the Apple discussions site, there have been a number of people that have complained about this iPod not working right with the adapter in that 1) the iPod is not turned off through the interface when the car is turned off and 2) the iPod does not charge through the interface. I think that there may been other issues too but you check on
www.apple.com/support/ipodnano