Someone was asking me about this just the other day.
Originally I was looking for a manual but couldn't find one in the spec I wanted so ended up with the auto and I couldn't be happier with it. Obviously it's great in traffic and normal daytime driving but I find it really good when going fast too. In auto mode it will change up perfectly on the redline without you having to watch the RPMs and in sport-enabled manual the changes are ridiculously fast - easily as fast as you could manage in a manual. Also as you learn the way the auto "thinks" you can basically control it through your right foot - force it to change up / down, hold a gear longer etc.
I'd heard all the horror stories - how many time did I hear the term "slush box" - but I can only assume these people have never driven a modern auto. I'm really glad I didn't hold out for a manual which might never have appeared.
Downsides? Economy takes a pretty big hit compared to the manual from some of the threads I've seen on here. I basically only get 28mpg and I don't drive that fast normally.
Somewhere around here is a link to a technical PDF about the auto box the Z4 uses. IIRC it has 7 (or maybe 11) modes offering different gearing characteristics - it decides which to use based on engine temp, outside temp, pitch, sport-mode, steering angle etc. Makes for pretty interesting reading if you're a huge nerd like me :roll: Sadly can't find the link right now. Must be on the forum somewhere.