Did you know that anybody with a kit for around $300 can create their own BMW keys? I didn't and it kind of freaks me out a bit. Especially in a convertible where someone can just jump in (I park with my top down all the time) and get their own key for the car in around 10 seconds.
For some reason BMW has the ODB (On Board Diagnostic) port on the car powered on even though the car is off and through this port you can read the key data needed to program a new key and also add that key to the car. All BMW models are affected that have the option of key less entry except for the new 3-series 2012 sedan, but that could just be because the software hasn't been updated yet.
This is by no mean a BMW only issue, but it is exasperated on for this brand by the fact that this port is on when the car is off and also that it has no security required to access it. BMW is trying to down play the issue, but has as of yet offered no solution.