First time BMW buyer as well and totally haggle free experience and they already list the cars below wholesale (and no tax) so its a no brainier...once I test drove a new 335 I was done. Main decision for me was what options I wanted. By far the easiest car buying experience I've ever had. Should have my ride in Jan.
To the OP, never feel guilty about getting a good deal. Like you said....you work hard, you pay your taxes etc...enjoy your new ride knowing you got a good deal.