I had the same problem at around 1200 miles on the e92 m3 - a fluid change and 20 minutes of figure 8's in a nearby parking lot took care of it. My previous e46 never experienced any issues during the 6 years I owned it from new.
I just hit the 3000 mile mark and I have two recenlty developed issues. There is heavy vibration in the steering wheel during moderate braking (light and heavy braking don't produce the same effect). This is probably an easy brake fix.
The other issue is of more concern - its a 55 mph and faster vibration coming from the right rear during long sweeping right handers. Its an off and on noise (almost sounds like i'm driving on a rumble strip - buzz quiet buzz quiet buzz quiet, etc.). Additional right hand input eliminates the noise - such as going around tight exit ramps. It occurs mainly on highways with sweeping corners - as soon as I hear it, straigtening the wheel corrects the noise immediately.
Any ideas on the second issue? Could it be a rear diff problem?