Parts List:

 Part Number                Description
34 11 2 282 301            Right Front
34 11 2 282 302            Left Front
34 21 2 282 303            Right Rear
34 21 2 282 304            Left Rear

Cost:  List price from BMW is $235.00 for front and $220.00 rear.  Price is for each rotor.  Best price I found was $682.50 for the set

Where to buy:  Any BMW dealer can order the parts.  There are also a number of aftermarket vendors selling them.  I ordered mine from South BMW.  Their web site is a work in progress.  If you want to order from them call 800.833.7278 and ask for Paul McLaughlin.  

Warranty:  Since these are BMW parts they have no adverse effect on your warranty, however they are not covered by the 3/36 maintenance coverage.  Since there is no maintenance performed on rotors it is not an issue.

Installation:  I cannot decide for you if you can do it yourself.  If you have ever replaced brake pads then this should be an easy job.  To get an idea of what is involved visit this page  E46 Brake Pad Replacement.  The only extra step is removing the brake caliper mounting bracket (16 mm or 5/8 box end wrench needed) and the two hex screws that hold the rotor to the hub.  The project took me about 2 1/2 hours including coffee breaks.