While it may not be of much help. I had full set of brake pads and discs (both front and rear) sent from the UK for my Alfa 147 GTA. It ended up around $800 from memory delivered when the dealer wanted $2200 (the exchange rate was around .76 i think).
You can try www.bmminiparts.co.uk
(UK) or getbmwparts.com (US based) or www.pelicanparts.com
(UK) for parts.
All 3 of them are very well known throughout the bmw community and safe to buy with. Not sure who would be the cheapest out of them though...