My 2011 35i does it. While I was at the dealer waiting for the registration to come in I was hanging out in the service area and just about every new x5, 535, 3 series and even an m3 they pulled in made the sound when it was started... I don't think its anything to worry about.

Very interesting..

Ok, good that it's normal, but.. What is it?

That's it exactly. It's a clatter, but the engine itself is not shuddering or sputtering.