I have a 2001 325i and it does that noise too..I have no idea...probably the water pump but I have heard it on other bmw's and as i can see other people are complaining about it so I guess its normal..just a bit scary.
When I turn it on at school when its cold and people hear it they ask what it is and im like "ohh its the super charger man what u talking about i hear no unusal noise" and i laugh and walk away LOL. oh well
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-dan-