When you jack up your car be sure to use the BMW specified jacking points, which are small rectangular-shaped rubber blocks that are located on the underbody near the wheel well openings. They are actually hollow are are designed to receive special jack pad adapters. These adapters are available at ECS Tuning, Turner Motorsports, Burger Motorsports, and BavAuto. You only need one unless you put the car on jack stands in which case you'll either need two or four, but this shouldn't be necessary. With a floor jack you can easily jack up the entire side of the car using either the front or rear jacking location.
BMW uses hub-centric wheels, which is that small lip on the hub that tturedraider mentioned. With this design, BMW wheels have a tendency to rust onto the hubs. If you remove all five lug bolts and the wheel doesn't budge, you'll have to resort to more physical measures. You can use a rubber mallet, but you may have to resort to sitting on your butt on the ground facing the wheel, with one foot on either side of the tire. Just start alternately pushing with your feet until you break the wheel free. This usually works for me. If it's really stuck, put all the lug nuts back on but leave them a half turn loose. Let the car down and manually push the car back and forth until the wheel loosens.
As floydrogers indicates, use anti-seize compound before you re-install the wheels which will help alleviate the tendency for the wheel to rust onto the hub. Apply it around the hub centric ring and on the surface of the hub between the lug holes where it mates with the wheel. I don't use it on the lug bolts.
When putting the wheel back on the car you can make things a little easier by using a wheel hanger. This is a 6"-8" threaded rod that screws into the top lug hole in the hub and allows you to "hang" the wheel on the hub through one of the lug holes while you get the other lug bolts threaded in. When you have the other four lug nuts installed, remove the wheel hanger and insert the last lug bolt. You can find these at the vendors I mentioned above.
Mine: 2006 Z4 Roadster (E85) | Interlagos Blue Metallic | Black Extended Nappa Leather | Carbon Leather Trim | Purchased 7/19/12
Hers: 2011 335is Coupe (E92) | Le Mans Blue Metallic | Black Dakota Leather | Dark Glacier Aluminum | 6MT | ED 5/12/11
Also Mine: (On Order) 2016 M4 (F82) | Sakhir Orange Metallic | Black Full Merino Leather | CF Trim | M DCT | Adaptive M Suspension | 19" Black Alloy Wheels | ZEC | ZLP | ZDB | ED 5/13/16
Last edited by SD ///M4; 11-14-2012 at 04:38 PM.
Reason: Correct references due to paragraph re-ordering