Worn steering column lock. Could be due to debris in the lock also. Taking it out can be a pain. A small chisel will usually slacken the bolts - used carefully. Bolts can be replaced with Allen head types. No real down side for security, after all you aren't going to put a sticker on the bumper with "Allen bolts hold my steering lock in" are you?
Good - Fast - Cheap: Pick any two.
E23 735i; E30 318i; E32 735iL (X 2 - 1 White and 1 Light Blue); E34 535i; E38 735iL; R50 Cooper; R55 Cooper Clubman.
E21 318i; E32 735iL; E34 535i; E38 730iL; E53 4.4i