What year do you have? Generally, you don't *have* to have RFT's on any BMW, but if your car uses the TPMS sensors on the wheel, you have to have the tires mounted to wheels that have them, else you'll get the warning on the dash ALL THE TIME. There is no spare tire, and no room for it (no well), so you need to carry one in the trunk or carry a mobility kit with flat fixer goop. Neither option is great. Don't buy tires at the dealer - it's a rip-off, and RFT's from them are hideously expensive. Go to tirerack.com. They also carry lightweight temporary spare "donuts" that won't take as much room in your trunk. Don't forget to buy a jack if you go that route.
It's a 2006, so it does have the sensors, is it possible to disengage the sensors. I know there is no spare, my driving has been within the Wash/Metro area I figure in a worst case secenario I call a tow truck. Yep the dealer is obscene with the cost, I could order online but then have to find someone to install but I'm still looking at $1,200 for four tires. My other concern, is that increasinly it's tough to find those RFT tires, right now I'm only finding them by Bridgestone. Such a hassle.
Dude, I was looking at tirerack and there are 13 tires for the base model, and 10 for the sports package. Cheapest (for both) was less than $600 a set of 4. Mounting + balancing should not run more than $30/wheel. If you remove the sensors, the computer will scream - there is no way around it.
You certainly do not need to put on run flats, it is your car. The only reason I might consider run flats if it were a lease, you may be required to do so. When you turn in a BMW lease they want run flats on it. I just changed from run flats to non run flats on my '08 e93 and couldn't be happier. Much improved ride, handling and so much more quiet. They'll last a lot longer and I saved about a grand! Mounting tires on BMW's can be more complicated than other cars. Many shops that could mount non RFT's cannot take off RFT's. Depending on what you're running for wheels, they also may not be able to mount your new ones. This is mostly due to their equipment. I shopped, compared and considered. In the end, I went to an independant BMW shop. I recommend you at least consider this as well. Finally, as others suggest, you have no spare and no more run flats. I'd suggest buying some sort of mobility kit. (sealant and pump) This might seem a little risky, but that's the way M3's and miatas have come from the factory for years. To another members point, BMW CCA plus or AAA isn't a bad idea, because you may find yourself needing a tow. Even if you had run flats, you might need a tow. Run flats can be hard to replace, depending on where (and when) you get towed. If you'd like, you can buy a jack and a space saver spare. www.bavauto.com has them, as do others. Good luck, it really is a personal choice.