I just had the fluid changed by my regular mechanic. I had ordered the kit and 8 liters of Esso fluid from Bavarian. They say that you only need 4 liters but I ordered more based on what I have read here and on other blogs.
The first problem I encountered was a phone call on Friday morning that the kit that I provided was wrong -- the gasket was too small and the filter was a different shape. A call to the local BMW parts depts was futile -- no gaskets or filters in stock. I called Bavauto. Turns out that even though I gave them my VIN, the order taker must have just ordered the kit based on the model year of the car -- 2003. The problem was that there are two kits for MY 2003 -- pre-Jan 2003 and post Jan 2003. If you call them to place an order for the kit MAKE SURE YOU SPECIFY THE VIN AND BUILD DATE OF YOUR CAR. They shipped me a new kit via UPS red and the job was completed on Monday.
The second thing really is not a problem. Turns out that Bavauto was correct about how much fluid my car would take -- 4 liters (4.5 if you include a little spillage). The mechanic measured what came out -- a bit over 4 liters (and it was pretty clean at 50,000 miles, with not too much crap in the pan, either) and put the same amount back in, tested it at the correct temp, and it was good to go. I think that some of the other posters here must have a different transmission than what is in my car. In fact, when I was calling around the BMW dealers to get the gasket and filter, I asked how much fluid my car should take and was told -- by BMW guys looking at their screens -- that it should take between 4 and 6.5 liters. Nice range, huh?
Anyway, this was just preventative maintenance and the car ran great before the fluid change and it runs great after. Based on what the fluid and pan looked like I will do this again at 100,000 miles.