My '09 35d never had the smell. My '11 35d has done it twice. Almost smelled like a funky wood burn or even electrical smoke. Went away after shutdown. My CA said another of his customers told him BMW said it was over injected insulation of some sort that was going back to a liquified state and landing on a hot surface.

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Arrived - '11 35d Alpine White/Black, Sport w/Adaptive Drive, 214's, Tech, Prem, Ipod/Sirius, R Climate, Probably no First Aid Kit
'01 Suburban "Shrek" 130K miles and still strong.
'01 Volvo S40 1.8T - Inherited by youngest daughter
'06 Acura TL MBP Navi Camel - Inherited by eldest daughter
GONE - '09 35d Alpine White/Black Sport, Tech, Prem, Ipod, R Climate, No First Aid Kit