We have a 2011 35 and love it. I have not driven the 4. The inline 6, even though it has been around forever, has been updated constantly and is a very modern and efficient engine. It is extremely smooth (inline 6's are inherently well balanced) and provides effortless power at any speed. Since the max torque is available from something like 1200 or 1500 rpm, you don't need high engine speeds to appreciate the extra power of the 6.
We see 24-25 mpg regularly. Most of our commutes are 10 - 20 miles between elevations of 6000 - 7500 ft. Observed mileage on longer trips is between 26 and 30 mpg, mostly determined by speed.
Re the ordering process. My understanding, dated by a couple of years, is that the factory allocates a certain number of vehicles for each dealer every year, based on sales and, undoubtedly, other factors. These allocated vehicles are scheduled for production by the factory, so the dealer knows when and which vehicles they will receive. The options, colors, etc. on most of these vehicles are determined by the factory, not the dealer. I assume that they look at a lot of historical sales data, perhaps sales regions, and who knows what else, to maximize sales.
A number of vehicles allocated to the dealer do not have their specifications preset. (They had a special term for these but I don't remember what it was.) These are the vechicles the dealer can use to satisfy orders for vehicles not presently available on the lot or in their near-term allocation pipeline. Just as with the other allocations, these "special order" (my term, not theirs) vehicles have a planned production date established by the factory. When you place your order, the dealer specifies all the options for your vehicle and attaches your name to it.
If you do place an order for an as yet unbuilt vehicle, you can, using BMW's web site, track it once it is placed in the production pipeline. In theory anyway. Back in 2011 we found that the web data was not very accurate or timely. Perhaps they have improved since then? They also produce a little video of your vehicle at a couple of spots on the assembly line.
I'm sure the dealers can take other approaches to satisfying a customer's needs: trade between other dealers, ask the factory to alter a schedule (probably not easy), increase/decrease allocations, etc. Would be interesting to know how all of that works and what the limits are!
Good luck with your new car!