I had shaking in my front end, with the steering wheel vibrating above 40 MPH. I hunted the problem down for a month, finally noticed the front right wheel was running hot. If you felt the center of the wheel after driving a while, compared to the other side, it was hot. I did notice after a while that if I stepped on the brake while going backwards, the problem would go away.
Traced it to a bad brake caliper. It seems the piston was shifting inside the caliper, and would not release after the brakes were applied, causing the vibration in the wheel. When I stepped on the brake going backwards, the brake piston would re-position itself, and the brakes would release. Changed out the caliper, problem solved. But a tough one to figure out!
1995 525i 5 speed - sold at 225,000 miles
2002 530i 5 speed - 160,000 miles