M5 features are eliminated from the US market by an organization known as BMW of North America (aka BMW NA). Below is a sampling of features Europe gets that the US does not:
The BMW web site describes the M Compound Brake System. Brakes are lighter, more powerful, more comfortable and have a longer service life
A first aid kit and warning triangle are standard. BMW NA does not allow these items to be ordered from the US
Rear Fog Lights offer safety from drivers from behind who are able to see you in adverse weather conditions
The BMW Individual Program offers many leathers, woods, colors, and features like DVD movie players built into the seats
The Euro Dash gives the driver and passenger more leg room and has a driver side storage compartment.
The Center Armrest is covered with padded montana leather, slides, and flips up to reveal a storage compartment