I had a similar issue when playing music from my phone in my 2008 328xi. As Stream said, it helps to reduce the AUX volume in the settings to 1 or 2. You should also turn the volume on your playing device to 100%. The buzz won't go away entirely, but that way the music will be relatively louder than the feedback so you won't notice it [as much].
If you have an iPhone, try one of these: (30-pin connector to 3.5mm and USB, so it charges while playing)
http://www.amazon.com/gp/product/B00...?ie=UTF8&psc=1
You can also pick one of these up to complete the setup: (Griffin powerjolt 12V USB charger)
http://www.amazon.com/dp/B0042B9U8Q/...I2CUEZ6K2HFFCW
I then routed the cable under the rubber tray and out the passenger side of the center console so I wouldn't crush the cable with the armrest. It's a clean setup that does the job nicely.