hmm, a few things, mainly depending on mileage.
first off, tranny fluid. if the car is automatic, especially. bmw says the tranny fluid lasts "forever" but they really mean 100,000 miles. i had to flush mine at 90,000.
2. AC. make sure the refrigerant is still there and that the car is blowing *cold* (not cool) air. this can be easily overlooked (especially in the winter) on an older car and can be quite pricey to refill.
3. moonroof. there have been some problems with them on E36s. make sure it opens fully both vertically and horizontally (whenever just the back of it opens up).
4. if the car has power windows, make sure you try them multiple times. same goes for power locks and seats. i had some major problems with mine when i found the window mechanism (especially in the winter) can easily break.
5. other stuff you'd check on any other car. ask if/when the clutch was replaced (if manual car), shocks, brakes, etc. those are the things that you'll immediately feel are worn out when you test drive the car. you don't have to ask to replace them but you can bargain the price a bit more.
2011 E92 M3 - IB/Beige/Sycamore Wood/6MT/EDC/ZPP2/Nav/PDC/Heated Seats/iPod-USB/Enh. Audio
2008 E92 335i - Montego Blue/Black/Gray Poplar/6MT/ZPP/ZSP/Nav/PDC/Heated Seats/HDRadio/iPod-USB - Sold
2006 E90 330i - Mystic Blue/Black/Aluminum/6MT/ZPP/iDrive/PDC/Heated Seats/Sat. Prep - Sold
1994 E36 325i - Boston Green/Beige/Automatic/ZPP/Heated Seats/Premium Sound - Sold