Start by replacing your bulbs with genuine BMW bulbs. They cost a bit more than the discount bulbs, but it is a far cheaper solution than replacing any other part.
BMW's are very hard on light bulbs, and often the cheaper ones do not hold up. Many BMW bulbs are single filament, and use a low voltage (for dim illumination), and a high voltage (for bright illumination). I am not sure about the bulbs on your specific car.
If this does not solve your problem, then look at sockets and connectors.
:drive: