You will need to purchase the extended warranty during the original warranty period to get a "good" policy.
When my 2005 M3 warranty was coming up in mid 2009 I priced them extensively. I have used them very successfully on a number of cars I have had that had lower extended warranty costs and have gotten new engines, new transmissions, etc. with them. (all that needs a very friendly dealer also).
However my pricing of the ext warranty put it at $4500 at the time. I could easily replace the SMG pump for that price myself so decided to self insure. I have the $4500 in the bank and although it hasn't earned much interest, I haven't had to do any extraordinary maintenance that the policy would have covered yet either. And that was 3.5 years ago so the ext warranty would be over about now.
So I am $4500 ahead of the game.
My only suggestion is to not spend the "premium" you are paying yourself to insure against major repairs. You may need it and if you do, you want to have the money available at that time.