I usually drive with my headlights on in the M3W so that other cars can see me easier. But I hate that there isn't a warning sound that I left my lights on when I take out the key.
I find it a welcome change that the car doesn't continually beep and chime.
However it's a simple mod to fit a lights on warning - for example:
http://www.ebay.co.uk/itm/Car-headlight-...738.m2548.l4275