Having purchased one last week myself (an '01 with 40K miles), I can understand what you are going through. I did a check of the VIN with a BMW dealer to find out the history of the car, had a BMW dealer do an inspection (2 hour CPO one) that included a good going over with a compression test. I also did a test drive.
Car looked good to me but when the dealer gave me the report it had a few items that needed attention. Power steering hose was leaking, valve cover gasket was leaking, AC belt needs changing, rear sway bar bracket is broken, rear tires are almost done, and few other items I cannot remember at the moment.
Not a cheap car to operate but the joy it brings when you drive it is worth it to most. As far as doing stuff yourself I look at it this way: man made it, man fixes it. If you are a mechanically inclined person and have some experience then get yourself a shop manual and give it a try. If you are not comfortable doing something then ask for help or take it to an independant expert or the dealer.
If nothing else take the car in for an inspection to make sure that it is road worthy. The worst thing would be to have a breakdown in the middle of nowhere in the middle of the night for an item that could have been taken care of at your convenience.
All the best and enjoy the first drive. I still remember mine like it happened last week.
Rob.