On my 1000 mile roundtrip to San Diego over Christmas I had the unpleasant experience of having the key alarm remote's batteries die (the switch had been engaged in my pocket), thus disengaging the starter.
Over the drone of the alarm, we sat and called first BMW, then AAA. BMW said the only thing that could be done was to tow the car to a dealer. LUCKILY, after waiting 30 minutes, the batteries had enough juice to disarm the alarm.
1) IF this happens to you, wait for a bit so the batteries can collect a charge and hold the key/remote near the rear view mirror from the outside of the car. This is where the sensor is located (at least on my '95).
2) BMW charged me $10 for the 2 Panasonic "watch" batteries (Panasonic CR1220, 3V batteries). Get two more and store them with a small philips head screwdriver in your glove box. If you can get in the car, you can replace the batteries.