Just as a data point, be careful if you do go the Individual paint route. I ordered an E90 M3 in Moonstone for European Delivery in early August. I showed up at Die Welt to find a Barbera Red M3 at delivery. Needless to say, I was disappointed. I drove the Barbera Red M3 while in Germany and have it now in the US (just picked it up this weekend) while they build and deliver the Moonstone M3. The factory shutdown in August didn't help with things, although I do get a 2011.5 model now.
The problem with Individual colors (AFAIK) is that you can't tell on the build sheet, bmwusa.com online status page, etc. what the actual color is. All it lists is "special order color" or something to that effect. It isn't even clear where the mix-up in the paint happened, whether on the dealer end, the factory, or somewhere in between, so I don't have any guidance on how to prevent this from happening to others going down this route.