A good friend of mine started selling parts for old 2002s and now has a nice little business going selling BMW and Porsche parts. Great guy and very competitive pricing.
Parts:
Blunttech.com - OE and Aftermarket Parts For Your New or Vintage BMW
And it helps if you know the part #'s you need, you can browse BMW's parts system here:
RealOEM.com Online BMW Parts Catalog
*the pricing on realoem is dealer list and usually quite a bit higher than his prices.