Here are a couple of pictures of the Alpine Changer installed (the soundgate adapter is stashed behind the changer). The Alpine changer is exactly the same dimensions as the OEM unit, so everything fit perfectly into the OEM bracket. I forgot to mentioned that you'll also need an Ai-Net to MBus converter cable, which connects the changer to the soundgate adapter.
I bought everything from logjamelectronics.com.
Here's the link to the changer and Ai-Net to MBus converter cable =>
Alpine CHA-S634 6 Disc CD MP3 Changer
Here's the link to the Soundgate adapter =>
SoundGate ABMW35V5 BMW-to-Alpine CD Changer Interface
You could probably find everything you'll need for a bit cheaper if you shop around, but it still beats the $600+ for the OEM changer.
Alternatively, if you already have an iPod, you may also consider the Dice Silverline kit =>
BMW X5 iPod Integration Kit for BMW X5 by DICE | BSW