I have a 2001 330i with an Empeg install. Forget installing anything other than the AC where the AC lives. The ONLY alternative is to completely replace the existing headunit. Of course, you can forget about using the CD changer in the trunk.
I did a complete install in my dash, and let me tell you it ain't the prettiest thing in the world. Further, I bought the PCATS tuner kit and the reception is not too great because I only spliced it into my antenna cable and need to go get the correct connector. There's so little room behind the dash area that everything barely fits... what a pain!
As I am a BMW lover and intend to buy another one when my lease on this car runs out next year, I decided I could not go through the effort of Empeg installation again. I just bought a Phatnoise Phatbox which installs in the trunk and allows me to keep the stock headunit, but I don't get any printed info about the Artist/Song/Album/etc. on the headunit display. Instead, a voice will tell me what song I am listening to as songs change and allow me to change navigate my files.
So, the Phatbox is a tradeoff -- much like anything else in the BMW and in life itself. It cost me almost $1000 USD to buy the thing, so it's awfully steep. If that's too rich for your blood, there are CD adapters that you can use to hook up a portable unit -- Ipod, Nomad Jukebox, Archos Jukebox -- through the changer control area in the back. That way you can keep the changer too. An adapter costs less than $100 USD, just make sure you get one that fits your needs (both the CD changer and aux in capability is what you'll want). Do some Google research...
I'll probably keep my Empeg for another car but this is the right way to go in the BMW. Hell, with the new models coming out with the integrated NAV screens its only going to get harder...
Adam