I recently replaced my 04 headlights and decided to take a chance with abundantly available aftermarket BMW "E39 series" headlights on ebay:
97-03 BMW E39 525i 528i 540i PROJECTOR HEADLIGHTS BLACK: eBay Motors (item 230475483705 end time May-20-10 21:59:00 PDT)
For less than $150 a set, I chose to avoid BMW OEM sticker shock. I recall these aftermarket units were much more a few years back and I was pleased WRV had chosen a popular and enduring headlight that was served so well by the aftermarket.
Lots of style choices covering projector beam, background (black, chrome, semichrome) and even halos
Look for plug and play with OEM type connectors.
Upon removal of the stock units, they appear to be sealed units and I didn't notice any way to clean the inside. The stock exterior lens can be polished.
Installation was fairly easy. A bottom mounting bracket required removal and a few mounting tabs on the bottom need to be snipped off to get the fit right. There's a little fiddling with hardware too. Plugs were compatible, but I chose to get the halo version, which required additional wiring.
The halos on mine have a blue tint. I'm not sure if it's a problem. It doesn't seem to be any "bluer" than some HID lights I've seen.
I also chose projector beam style. Before I removed the old ones, I marked the inside of a warehouse door to indicate stock headlight beam placement. AFter installation, I couldn't adjust the much narrower projector beam to the center height of my marks. I maxed out the adjustment about a foot lower than the center of the stock, more disbursed beam. I'll need to do a night field test to see if this is an issue.
They do look good and the halos are kinda cool, operating with parking lights and headlights on.
I also chose to replace taillights with also abundantly available Excursion-type aftermarket lights for ~$70. These also required some fiddling, but they do fit nice and look great.