If your talking about converting a German car to US specs...

it'll cost ya. Could even cost more than the car unless the car is old enough to fall under the oldtimer clause. I believe that there is only one or two places that can legally convert a car. You'd be better off getting one that's US spec to begin with.
If you want something different than what's available from the states, go directly to BMW. I had a Warrant Officer back in '94 or '95 that had BMW build her a "M3". It didn't have the markings of a M series, just all of the goodies that it comes with. Under the hood she got the 4 liter V8 that was available in the M5. She paid for it but it was US spec.
Don't ask if they'll still do this or how... It was some time ago.