It's a no from me. When I was looking, about this time last year, I saw cars with it, and cars without it.
Since I don't listen to my iPod in the car, nor have bluetooth, nor drive regularly to places I haven't been I don't feel like I am missing out, but were I buying a new 3 series say, I'd order it. If my own car had had it, I'm sure I'd be happy.
Given that there are realtively few Z4Ms out there I didn't feel I could be that fussy when it came to options. But I was far more interested in condition, warranty, colour etc. Afterall most days I know where I am going, but if I'd bought one in a duff colour, I'd have to look at it everyday!