I joined M3forum.com and their consensus is just as you say - only go to the stealership if you have warranty work to do. Otherwise, always find a good indy for work if you can't do it yourself.
Looking at all the DIYs and stuff, it doesn't seem a difficult car on which to work, but parts are expensive as it's a foreign car - however, parts seem plentiful as it's an older model and as popular as it is. The only thing I'm really worrying about is drivetrain (clutch/flywheel) and the VANOS. The Inspection IIs are also a bit pricey, averaging about $1500. Though, if I do the valve timing and other fluid flushes and the like myself, I can bring down the price significantly.
The car is an 05, so I don't have to worry about the subframe issue on the 01-03s, RTABs were just replaced (cheap to replace, relatively) and FCABs are still good. Brakes, as mentioned, new rotors and pads will run me just over $400 to install myself. However, I do have it covered under warranty until 2014 - and it covers lots of stuff.