This is an interesting thread. I bought my wife an X5 35d last year (2009). We enjoy it, but the warranty expires next Summer. We plan to get some extended warranty which should cost around $3,500, but I am really liking the Cayenne, and there are some real sticking points about the BMW. So I'm going to continue watching this, but here are my comments:
1. Mt X5 35d doesn't seem to get as good of mileage as other's state here or even EPA standard. I drive efficiently and compared to other cars where I can usually get slightly better than EPA on my road trips from Austin to Houston, in the X5 I cannot. I strictly go 5 mph over the posted speed limit and my wife's (from before we got married) 09 VW TDI Jetta 6spd got 44 mpg on the journey, 3 more than EPA. My old Infiniti G35S got 25.5 mpg on the trip, or 0.5 over EPA. However, I can only get 24 with the X5.
2. The interior rattles are really bad for a German luxury brand on the X5. Although I did finally DIY fixed the rear hatch issues, there are still creeks and cheap plastic on pressure points such as armrests, etc. Also the diesel engine at low rpm is causing some vibration enough to make some rattle noise in my headliner.
3. It is quite loud stop light to stop light.
However, the X5 is wonderfully comfortable to drive, the active suspension works well. However, it is no where near the build quality of my 2011 Audi S4 Prestige.
So if used prices of Cayenne Diesel's next Summer come down to a reasonable price, I might jump ship, mostly for interior quality.