I installed the Kenwood KDC-HD552U, paid around $120. The connect plugged right into the plug that pulls off the back of the business radio. You did have to connect all of the wires on the connect to the radio, but the instructions were very easy to follow. I used the connectors I got from Crutchfield which made the splices easy. Entire process of removing the old radio, making the connections and installing the new head unit took about 30 to 45 minutes.
Here are the items I got from Crutchfield.
113HD552U Kenwood KDC-HD552U CD Receiver
669PP500 Posi-Products Connector Kit 16 pieces for Car Stereos
0000090003 BMW Z3 96- MS 1 0 0.00 0.00
120709195 BMW Wire Harness receiver, 1990-up
12040VW12 Motorola/Male to Volk/Female Antenna Adapter