Don't forget that BMW will charge you a VIN lookup fee associated with getting the car registered in Canada (i believe it is around $1000 but that might be with the changes made to the car such as daylight running lights).
You will also have to have an RIV inspection ($229) and an out-of-province/emissions/certification (can't remember what it is called in ON).
Factor in shipping of $1000-1500.
I don't believe you can get a CPO from the US which means that your 09 will have < 2 years remaining on the warranty if that is a big deal to you.
In the end I had the same thoughts that you are going through (although I pay only 5% GST) and it still made sense to buy in Canada, form a relationship with a dealer and pay 2.5% more.