I think you should go with the factory alarm which already has a number of nice features found on other alarms (ie. tilt sensor, interior motion sensor, and the all important "make a lot of noise" siren).
An aftermarket alarm will result in a lot of wire splicing, cutting, etc. Plus you will lose the nice integration with your BMW key (ie. no extra transmitter dangling from your keychain).
It's not worth the trouble -- no matter how fancy the alarm, it's only going to be of marginal help. The most secure part of the car is the driveaway protection system built into the key, and that can be defeated by having the car towed.
A forum community dedicated to BMW owners and enthusiasts. Come join the discussion about Bimmerfest events, production numbers, programming, performance, modifications, classifieds, troubleshooting, maintenance, and more! Bringing the BMW community together.