I just completed replacing the front rotors on my 3 Series for the second time since Christmas, and in about 500 miles.
I installed all new brake parts, and immediately had shaking in the steering wheel under braking. The guy that sold the parts (R1Concepts, on eBay) said that the rotors should be true when they leave his shop, and he sent me a new set to replace those I already had installed.
I took the brand spanking new rotors out of the box and checked them for lateral run out. They were not true. I paid the machine shop $30 to true both rotors ($15 ea.)
When I installed the true rotors, there was no shaking at all. Now, I will be taking the first set of rotors to check them for true.
The lesson here is that brand new rotors, straight out of the box, are likely to not be true. When doing brake work at home, it pays to put the new rotors on a lathe before putting them on the car.
Happy repairs.