There are several that I order from, some of them are dealers:

ECStuning.com
koperformance.com
bavauto.com
pelicanparts.com
bmwoffairfax.com - dealer is local to me, I order small stuff online for later pickup
getbmwparts.com - BMW of Silver Spring, in MD. dealer (I got the Nav update CD there)
bmwofbloomfield.com - BMW dealer in NJ, very competitive prices

I also use digi-key (electronics parts supplier) for small electronic parts, such as connectors, pins, relays - digikey.com... one part i buy from them, that is very handy is part # A28327ND, a pin socket for various connectors used in BMW.

This list is not all inclusive and I do not endorse any of those suppliers, I am sure other folks will be able to chime in with their own experience...