My BMW dealer wanted something silly like £500 off me for 3 years £20K cover ... I told them I could get it on the internet for £210 and they matched it ... just shows that they can do it if they want !
Search on Money Saving Expert, I bought my gap insurance from a company reccomended by many on their forum site, can't remember the name though!! From obviously iffy memory cost was about £130 for 4 year old £20000 car.
BMW should match or go very close to third party quotes if you get some. Oh and by the way I used it and they promptly paid out to return to invoice price on submitting the claim. Very handy for the 8.5k depreciation suffered since purchased for a mere £250!