I bought a new 2005 330xi for $8500 below sticker ($4500 below invoice). Loaded and nice gray-silver metallic color. 16 miles on the odometer. I really like the classic E46 look, and I don't care for the new E90 (2006) look at all. So I found this bargain and went for it. If you're still up for a 2005 model, you can find amazing deals right now. You just have to ask.
The 2006 will have a different flavor of AWD, namely, the x-drive. This is supposed to be superior to the fixed 62/38 split, but the success and reliability of the current xi speaks for itself.
And Tom had it correct. Buy at the end of the month, and preferably at the end of the last month of the quarter, and you'll have more leverage in pricing. Also keep reminding your salesman that you're torn between the A4 and the 330xi.
I test drove a 330i and 330xi back to back and felt almost no difference on dry pavement. The 330xi felt grippier in the test drive, and the acceleration felt just as good as the 330i's. The current model has about 1" more height than then sports 330i version. If this bothers you, wait and see if the 2006 model also has this gap. I actually like the look. It gives the car a little more of an aggressive stance. And I don't bottom out going into parking lots like I did in my last car.
There's a lot of anti-xi bias on these newsgroups I have found. But if you don't race your car through cones on the weekend, you won't notice the supposed performance tradeoff of the AWD on dry road.