I definitely think it has to do with supply and demand when pricing these vehicles sometimes. More dealerships, more competitions, more room to haggle and play them off each other. I live near Austin, TX (near Fort Hood)..and we only have 2 dealerships nearby and to find more you have to travel to Houston, Dallas, San Antonio. I just sent some emails to the 2 dealerships near me about the 2010 35d, I will let you know what they say but they are pricing them way high (MSRP) as well on their website. So I wouldn't worry too much about it, just be glad you got your order in before the ECO credit expires next month.
We have placed an order for our 2010 X5d through pentagon car sales (which doesn't qualify for the BMW eco credit because of the military discount) and I started seeing the same things about people only paying $500 over invoice and such (that's why I am pricing some other dealerships). Same "buyer's remorse?" Haha. I doubt I can find a dealership that still has a build slot for the year before the eco credit expires. So in the end, I guess you and I both got a great buy!