To the "feel" comments - I can actually feel the difference between new and worn pads. The worn pads feel better to me. I think it takes time for the new pads to bed in so they're really feel right even if you have done proper bed in procedure, and I also suspect that I'm actually feeling the pads compress however slightly they may making the pedal slightly softer than with thin, worn pads. However as others have said they will only continue to feel and work good for a short time, so start saving for some new parts... brakes aren't something to mess around with.
The good news is that brakes are actually rather easy to do yourself, as long as you are meticulous and do it right. Other than the expected basic hand tools, jack, and jackstands you will need:
1) a set of Metric allen wrenches or sockets, including 7mm which is a size rarely included with inexpensive sets, but seems to be universally used on slider pins (the ones on a SAAB that I just did a brake job on yesterday looked the exact same as the ones on my BMW) the only two that you actually need are 7mm and whatever the rotor screw is, I forget - I mention the 7mm because I had to go buy one.
2) some anti-seize for the rotor screw and also to put around the hub flange when reinstalling the wheel
3) a torque wrench, if you don't have educated hands
4) some brake grease for the grooves in the pad carriers that the pads slide in (I've used anti-seize in the past, but brake grease is the right stuff)
5) a wire brush to clean the hub faces if you are replacing the rotors. I actually use one in an old drill to make the job go faster
6) 3-4 cans of Brakleen - don't skimp, cleanliness makes for a more professional, smoother-working brake system.
7) 2 quarts of brake fluid, if you're flushing the brakes at the same time. I (heart) my Motive Products pressure bleeder so much, and for the price, it's not hardly worth making your own unless your time is worth nothing.
8) some means to push the pistons back. An appropriately sized C-clamp will work on a BMW. I just two days ago finally bought the proper tool however as I needed it to do the "rotate and press" thing on some Brand-X rear brakes for the first time (it was the first time I'd done a brake job on a car with parking brakes integral to the rear calipers.) $40 at Harbor Freight (really!) and surprisingly, I was impressed with the little tool. It appeared sturdy and worked well and the little magnetic interchangeable ends are really nice. Even if I don't need the "rotate and press" functionality I will probably grab that toolset next time I do brakes as it works great for pressing the pistons back in even on conventional calipers.
If you haven't done brakes before, read the DIYs, ask questions, etc.
am I forgetting anything?