Many folks do not believe that you can go the whole 15K miles without break down of the oil (even the synthetics). Also, changing more often will give you a better feel for the health of the engine and also remove any crud and metal shavings that might be collecting in the oil (especially after the break in period).
What do you mean by "harsh". The worst thing you can do to the engine is to take lots of very short trips (only a couple a miles) so that the engine never really gets a chance to warm up properly.
If you plan on keeping your car for a long time, then think of it a cheap insurance (I just had mine done at 5K and it was about $75 with a new oil filter and BMW branded oil. I'm planning on starting to do them myself when I have time). If the car is leased and you plan to turn it in at the end of the lease, well then just fergedaboudit and do it every 15K miles.
Is there a benefit in changing it at 5k instead of the recommended 15k? I am a harsh driver.... so maybe it's a good idea?
Also, what kind of oil do you use to change it, and what kind of filter? Can you get them off the shelf, or is it a BMW part?
BMW branded oil should be fine. Castrol Syntec, Mobil 1, and a few other of the synthetics are also fine. All available at your local BMW dealer or the generic auto parts stores. (Though if you have an M3/M5, you'll need something like a special 10W60 synthetic which may only be available from BMW). Go for the stock BMW oil filters.
Really, though, this subject has been beat to death many many times over, both here and on the other boards. Search for the older articles to get some other opinions.
- howard