My 2007 335i had the same issue, and it seems to be related to the N54/N55 turbo engines. If you don't clean it every now and then it can really bake on and become very hard to remove. I found that chrome polish worked okay, but an even better solution is this stuff:

I've been able to find it at my local AutoZone, and a single can lasted a long time. You simply grab a piece of the cotton wadding and rub it on the exhaust tips, then wipe off the residue. The solvent (or whatever) in the wadding makes quick work of the soot, dirt, etc.

My X5 35d always has very clean exhaust tips. I know that diesels aren't completely clean and green, but I don't mind having relatively maintenance-free exhaust tips.