Hmm I can see how I'll get bad fuel economy in the 540i too. Defintely even in the X5, it's fun to punch the gas and keep up with lighter sedans to their surprise. So with such a capable machine as the 540i, I'd be inclined to do it more often.
Perhaps a good compromise is a Banglebutt E60? My home dealer has some 2004 530i sedans with Steptronic, PDC, HK Logic 7, Front and Rear Heated Seats, Ski Sack and Auto Dimming Mirrors. Oh, and standard adaptive headlights! They have this Silver on Black sedan with 42KM for $57...not bad I guess. The CPO rate of 2.9 applies here, so might be worth a look.
I'll let you know of my impressions if I get around to actually swapping. I don't worry about getting a bad trade-in value on the X5. My rep is a sales manager, so if I come in there and tell him that I want a deal, stuff happens (whether in the form of a higher trade in value or discount on the new car).
Back when the 530i E60 came out, I took a test-drive. From what I remember, it was a silently quick, the sound system was the best I'd heard, and the car was surprinsgly refined. But you could punch it to 60MPH without any noise or vibrations. Your passengers wouldn't notice - I think it was like a cruising machine.