One problem related to engine exhaust system has been reported for the 2002 BMW X5. The most recently reported issues are listed below.
In January of 2010 during a cold weather spell, I started my car and started driving slowly. After about 5 minutes I noticed smoke coming from engine compartment and from exhaust pipes. I stopped the vehicle and had it towed to a certified mechanic. He diagnosed the issue as a failure of the separation valve that caused the increase pressure under the valve cover. Fortunately, I was able to avoid extensive damage and my bill was "only" around $350 (plus towing). I did my research and found that BMW had known about that problem all along and did nothing. There was a TSB issued for canadian market but no recall was issued. Later models of X5 were equipped with updated valve, it appears that many owners had their engines completely destroyed and the company did nothing to help them. I'm enjoying driving my X5 but believe that the company should have rectified the problem earlier and should have compensated the owners for out-of-pocket expenses for the problem that was well known one.