After 61,000mi on my '94 530ia I got the "brake linings" message on the OBC last week. I decided to do the job myself and replace rotors as well as pads. I went with Balo rotors and Pagid pads purchased from the Ultimate Garage. Total cost of all parts was $330 including new brake wear sensors.
For those contemplating doing this job it's pretty easy but you'll need the following tools some of which are bastard sizes. The Bentley Manual provides no sizes.
Caliper bolts - 7MM Allen Socket (all 4 wheels)
Brake Pad Carrier - 19MM Socket for Front
15MM Socket for Rear
These bolts are super torqued so have long handle ratchet handy.
Rotor Mounting Screw - Front 6MM allen socket
Rear 5MM allen socket