I haven't done it, but I am willing to bet that most who have taken the class will say it is certainly worth your while. Whether it is worth your money is a completely different story. ~$1500 is a lot of coin to drop for a driving school. You can do 10 open track days for that much, with an instructor.
Granted the situations you are able to experience at the BMW M school will likely be a great experience, don't think I am discrediting the M school. As someone who considers track time as a hobby, I consider $1500 on one track day to be too much haha. But if you have no previous experience, want to see different scenarios, have some money burning a hole in your pocket and don't want to use your own car then go for it! Report back.