I've done it twice. 2.5 years ago with the M3 and 3 weeks ago with the M5. It's a fantastic experience.
Head south to the Austrian and Swiss Alps and then the French Riviera. Excellent roads, fabulous scenery. You'll see many many E55, RS4 and Porsches on your way that will want to race with you. A little frustrating when you must take it easy with car! In addition, you can save sales tax (at least in California) if you keep the car for 90 days or more in Europe. Email me at [email protected] if you want more practical details.