Whilst I appreciate that I am in the UK, the same priciple might apply here. I ordered my M3W through a dealer, but collected it from the factory myself, had a free tour and generally was much more involved with the car. I also saved the delivery charge of around £350 or more for my trouble. I do have a trailer and suitable tow vehicle, which helps.
Surely, things shouldn't be so difficult for our european friends to do something similar and at least know they aren't be shafted on delivery costs. [Although I suspect it would cost the same to to it yourselves!]
