This is true, and for an online experience, shop from the US, and it'll be here quicker, and cheaper than most local options. I am a huge fan of FCP Euro, and will plug them any chance I get.
That said, I have to plug Continental Cars BMW (formerly Jerry Clayton BMW) and their parts department. If you know what you want, call them, ask for a quote. They will post to you at a reasonable cost, and for small items, can end up being competitive with FCP Euro (since cost of shipping for small things doesn't scale down well.) You have to have the part number ready to go though, which is the only drawback. No searching, or other online-shopping benefits.