There is a huge forum just dedicated to BMW European delivery if you are interested and it helped me out a lot when I was researching this back then. Also someone there every year I believe posts the internal pricing for BMW US/Euro wholesale and with dealer markup so I just went to my local US dealer told him I would give him $1k above German wholesale and he filled out all the paperwork for me. I flew to Munich a few months later showed them my passport and off I went. It was great.
Link here: http://www.bimmerfest.com/forums/forumdisplay.php?s=68aa7500...
In fact, once BMW ships it to the states you normally pick it up at the dealership anyway. I believe some eager beavers pick it up at the New Jersey dock but I think most wait until the car is delivered and titled in your home state (and any shipping damage is discovered/rectified).
Also, there is a recommended break in period on the new engines, precluding you from going above 6k RPM, IIRC. Still, if you did a European delivery, it'd probably be very possible to legally drive 100+ MPH on the Autobahn.
No, not 'probably very possible' - it's entirely legal to do 155mph+ on the Autobahn. There's one heading straight out of Munich. (most German cars except Porsche are limited to 155)
Still, running in the car first might be a good idea.