I successfully completed most of the overhault (skipped rollers and hoses) about 2 weeks ago and haven't had any issues since. For the record I am NOT a DIY expert and prior to owning my BMW (bought 3 months ago) I had never even changed oil on a car. That said, despite being intimidated at first, this was really not all that bad. I completed my overhaul in 3 nights working maybe 2 hours at a time and being very very careful about everything.
Some notes for future DIY-ers include:
1. Fan clutch nut on my 2001 525i apparently had a more difficult seize than many others. As a result the BMW 1703 tool was extremely useful and much more successful than the screwdriver method in the DIY. My seize was so hard that I actually had to resort to setting up the 1703 and bracing it against a maglite in the engine bay and striking the 32mm wrench clockwise with a rubber hammer a few times. After at least an hour of fussing with it this was the only way I was able to break the seize. I bought my 1703 on ebay for about $30 but neglected to check if Autozone and the like had it available for loan.
2. Rethreading said fan clutch was somewhat frustrating. You have to set it on the nut "just so" where it won't fall off at all, spin it clockwise, and hope that it doesn't slip. I bet this took at least 20 minutes.
3. I happen to have mechanical tensioners on my bimmer and it is important to note that these required a T50 TORX screw rather than an 8mm Hex screw as noted in the guide. I very strongly recommend anyone with mechanical tensioners, who are not replacing them, to buy a T50 bit or a set of them instead of the Torx keys. It would be extremely difficult to release the tension using a key. I bought a large set of Torx bits for about $10 at Autozone.
4. Water pumps, at least at the time I did my overhaul, seem to have gone up considerably in price. Even the OEM one is over $100 everywhere I checked and I've heard bad things about the Graf. I picked up a Bosch 96101 on Amazon.com for only about $50 and feel really good about it. Compared to the OEM Behr part it was almost identical save for the *****colored (brass?) impeller. It came with the gasket, too, so no need to order a new one. I couldn't find much info on if this unit was good or not but I optimistically took it as a good sign since enthusiasts regularly complain about the subpar parts. Even if it fails in the near future, at 1/3 of the price of most OEM-quality models, I think I'll be satisfied with it.
5. As far as the coolant goes, I would recommend just buying BMW coolant. I bought the yellow Prestone extended life coolant for CHEAP ($12-5 MIR!!!) and ended up returning it after doing a lot of research. There just isn't a definitive answer from other enthusiasts on a suitable alternative for BMW coolant and I decided not to risk it. The coolant in my car at the time was also not OEM since it was a bright green color (Peak maybe?) and that also spurred my decision to only use the real thing. $21.95 per gallon at the local dealer (I used about 1.25 gallons myself). A lot more spendy than the practically free Prestone but a cheap investment for peace of mind.
A couple of great resources that also helped me out during the overhaul include:
1. Pelican Parts 3 series cooling system DIY.
Can't find the link for this one but it was for an e39 or e346. Almost identical to procedure on e39 and includes some really good pictures.
Great video for cooling system bleeding which is something I was paranoid about doing incorrectly. I followed this procedure exactly and had 0 problems with air bubbles, etc.