I've never purchased a BMW through either Neillo or Roseville BMW (Sacto region), but I have been there with others who were buying a car and didn't like the treatment we got. It almost seemed like we were 'bothering' them.
Keep in mind the dealer ALWAYS charges more (used cars is where they make their money)....but this mark up is an avoidable cost if you're willing to look elsewhere. Have you considered a private party sale? There are plenty of quality used BMWs (both new and old) on the private market and their pricing is typically a few grand less than what the dealer charges. If you were concerned about a certain used cars' overall condition through a private party sale, you could always take the car to an independent BMW shop and pay for a pre-purchase inspection. A really thorough one will be a couple hundred dollars....still much less than dealer mark up.