The bottom line after many hours of researching about BMW's "Lifetime" Transmission fluid.
In the years before the early 1990s, BMW never had "Lifetime" fluid in their vehicles.
Over the course of time, BMW changed their policy, due to increasing competition from
other car manufacturers to be more competitive with costs and initial customer ownership.
Thus came about the "Lifetime" fluids or components on certain cars and equipment.

The consensus though is that the transmission fluid should be changed at some point
and is not "Lifetime". Depending on your driving style, climate and other independent factors
you should change your transmission fluid anywhere between 50k and 100k miles.
Sure, you could drive your car until the transmission fails, which may be over 100k miles,
it maybe be less or your transmission might never fail. The point is that your transmission
fluid is not "Lifetime" and should be changed.

Below you will find a PDF that will help you locate your transmission and approved oil for
your car. There are other "approved" oils from companies such as RedLine, Amsoil etc, but
use at your own risk. The ESSO ATF - LT 71141 is not a cheap oil, but can be found under
$15 online from different locations.

Next you will find documentation from the Bentley manual on how to change your oil in a E46.

Last you will find the official directions from ZF on how fill and check the ATF Fluid.

So, in conclusion, your ATF should be changed. If done correctly this will not cause any
problems to your automatic transmission. Most problems if any that occur, are due to
improper procedures or transmissions that already have problems and by changing the ATF
you can not turn back time on the damage which has already occurred.
Thus, people tend to blame theirtransmission problem on their ATF change.

Good Luck

BMW Transmission Chart Reference
Valvoline Letter / Valvoline Mercon V ATF => ESSO LT 71141
Quaker State Multi-Vehicle ATF => ESSO LT 71141
Amsoil Synthetic Universal ATF => ESSO LT 71141
Other BMW owners have also used Redline D4 ATF Fluid sucessfully
ESSO LT 71141 Specs
ZF Oil Reference Guide
ZF 5HP19 Transmission Document
ZF 5HP19 Exploded View

Parts needed:
ATF Fluid:
(Valvoline Mercon V ATF $3.99 quart at your local car store)
ZF5HP Capacity is 8.7 L / 9.2 qt without torque converter 6.1 L / 6.4 qt)
ESSO Fluid P/N:
(optional) (83-22-9-407-807)
Filter P/N:
(24-34-1-423-376 or 24-34-1-423-376-M103 ZF motor / FILTRAN Recommended)
Pan Gasket P/N:
(24-10-1-423-380 or 24-10-1-423-380-M30)
Drain Plug P/N:
( 24-11-7-507-555 or 24-11-7-507-555-BOE)
T-27 Bolts P/N:
(24-10-1-423-273 - Extras in case stripped during the ATF change)
Loctite Blue $6 (for the pan bolts)

Tools Needed:
8mm Allen Bit Socket - Need stubby due to tight constraints (Fill Plug) (30 Nm / 22 ft-lb)
6mm Allen Bit Socket - (Drain Plug) (35 Nm / 26 ft-lb)
T-27 Socket Bit & T-27 Screw Driver Bit (Drain Pain & Oil Filter) (6-7 Nm / 4 ft-lb)

Suggestions:
* Insure the FILL plug can be removed, otherwise if have drained the ATF, you are in trouble.
* Leave 4-5 Torx Bolts holding up the the drain pan if you are doing this by yourself.
* Tightnen Torx Bolts use blue loctite. Tighten one after the other, not star pattern.