Since buying my 2006 Z4 M Roadster about 5 weeks ago I've had the bulb warning twice. The first time I wasn't able to check out what the problem was but when I came back to the car and restarted it the bulb warning was gone.
Second time my wife and I were out one night and the bulb warning came on. She got out and walked around the car and determined that the right front headlamp wasn't on. When we got back into the car and restarted it, the headlamp was working fine and the bulb warning was gone. Since it hasn't happened frequently I haven't bothered troubleshooting this any further.