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My favorite BMW of all time would have to be the E39 M5, it was the car that got me into BMWs, and every since I've liked pretty much every car that BMW has made. It was an amazing car, because it beat cars much newer than itself and much more powerful, well until the E55 came along, but they still said the M5 had bits that were better than the E55. I still like the current M5, but it's not as special as the E39 because that's the car that got me into the brand!
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My second favorite BMW would have to be the M1, it is the only supercar BMW have ever made, I hope they make another one soon. It looked awesome and was a great race car.
My third favorite BMW would have to be the 2002 turbo, it is one of the cars which define BMW as it is today, and in it's day it was a great car. Also, even today it still looks good.
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My forth favorite BMW would have to be the M3 CSL, I have always loved the E46 M3, and the CSL was the best version made. It was an extremely fast car, 7.50 around the ring!

The engine was awesome, and has got to be one of the best engines ever. Also it had a lot of new technology such as the CF roof.
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My fifth favorite BMW would have to be the E30 M3, it was basically the start of the M brand, well that people could afford. It still looks great, and again had an amazing engine, as all M cars do. Also now, it's a great performance buy!
There are many cars I love but left out, but seeing as it's just the top five, here's my list!