Plugged in air compressor to cigarette lighter socket
 

Turned engine on, turned on compressor, nothing. Also tried the one in the center console and by the vents in the back, still nothing. Anything else I need to do? Is it a blown fuse? If so, where can I access the fuse?

The compressor most definitely works. Plugged it into my wife's MB R350, works like a charm.

Did you plug anything else in to see if it works? phone charger maybe?

look in manual for fuse box location and check fuses.

Air compressor blows the fuse in the cigarette lighter, all the time for me. Try the socket in the trunk. The fuse is at the same side as that socket, as thunder said check the manual for the location. Once you pop open the side panel, you will find a small piece of paper that tells you what each fuse is for...

The socket in the trunk works for the air compressor. The sockets in the passenger compartment do work though for the phone charger/GPS, but strangely enough, doesn't work for the air compressor. So not a blown fuse, but somehow, seems only compatible with the one in the trunk. Don't understand why, but as long as it works. Thanks for the tips!

The newer BMW motorcycles with the CAN buss actually limit the amount of current that can flow from the accessory socket, shutting it down if the current draw is too high. Perhaps the X5 has a similar "smart" socket up front.