Just did this not much involved, but wife took it to dealer once and it was $80 to change on low beam light
Used this procedure after searching the net and easily took 15 min for both sides. Thought it might help others.
I have a 2005 BMW X3 and searched the internet for the answer to this question, one answer I found for the 2004 year model showed pictures of the cover assembly for the low beam bulb and suggested prying the cover loose. BAD IDEA for the 2005 model as I soon found out. I can olny speak for the 2005 model, but the cover has a plastic clip at the top that breaks easily when pryed.. as I found out to my dismay. My bulb had to be replaced on the passenger side of the vechile, and looking in it seems to be quite a chore as it seems that much of the surrounding plates and harnesses will have to be removed. Not so! I was able to remove the window washer reservour tank by simply removing one bolt, it is secured at the bottom by plactic posts. Once the reservour is out of your way you will have plenty of room to get to work on replacing the bulb. It is quite straight forward and easy, less than a five minute job. Just be careful to open the clip at the top of the cover and the cover will open with little or no effort. If you have to force the cover you may be breaking something. Hope this helps!
Additional info by a different user
Great information above. I also removed the wiring harness on the reservoir to give me even more wiggle room, probably unnecessary. I would only add a few things:
Use a long skinny flathead screwdriver to gently lift the tab on the housing. Once inside the light cavity, everything pulls straight out. Jiggle a little and pull straight out. Lightbulb also pulls straight out. Wear some kind of gloves to keep your skin oil off the new lightbulb. When you put in the new light, make sure the round part is on the bottom and the flat part with the tab is on top.