I had this on my 2003 E85. Here are some possibilities of things to look at.. I ended up doing all of them, because they needed doing anyway!
- Wheel balance (not unheard of to lose a balance weight)
- Alignment (could be out after 1700 miles if you've seen enough potholes..)
- Sticky brake callipers (possible causes are degraded brake hoses, corroded slide pins, or degraded pistons/seals)
- Run flat tyres (I changed off run flats all round, soooo much better ride and road noise)
- Control arm bushes (E46 / E85 / E86 known to work through these fairly quickly) and ball joints
- Anti roll bar bushes.
- Track rods (check both ends for play)
- Drop links (both ends)
I can't actually remember which one fixed the steering wheel twitch in the end. I seem to remember replacing the anti roll bar bushes made a big difference; the old ones were so worn that the bar was waving around in the hole.
On the brakes; if you are UK, GSF Car Parts sell reconditioned brake callipers (good as new) and will give you a substantial discount when you return your old ones.
All are quite easy to inspect and diagnose, if you're into a bit of diy mechanic-ing.