I'm not as experienced as others, but I think it depends on the part. But for the most part, the OEM ones from BMA are fine - and much cheaper than what the dealer sells. Many of the parts are exactly the same as what the dealer sells with the exception of a BMW logo and BMW part number stamped on them. You'll be fine with good quality of aftermarket type brake parts - Brembo, ATE...
Just remember that BMW uses many different suppliers, even for something like a brake rotor. You could see many manufacturers as OEM for a single part.