I had to do the very same decision at the time I bought my 156.
- Alfa Romeo 156 SW, 2.4 JTDm, m.y. 2003, 140.000 km
- BMW 525D (E39 I believe), sedan, m.y. 2003, 130.000 km
Both cars had pretty much the same bells and whistles - as well as similar prices.
I drove both - having been driven before in a BMW, it didn't feel as special as I expected it to be. On the other hand, I fell in love with the 156 on first sight. When driving, I felt as I was a part of the car. Just to give you an idea how hooked I was, I didn't even notice one of the short beams wasn't working when I bought the car (admittedly it was during daylight)!
My thoughts now, one year into the Alfa ownership? I wouldn't do it again. Not with this particular car. Since then, it costed me about 4000 euros in parts and labor (all bar one - 700 euros' worth - being done at an independent garage with reasonable rates). I think I should've picked the BMW.
My next car? Either a 5-series or a 159, but more likely a BMW. I simply got tired of visiting the mechanic every month and wondering what will go down next. However, when buying used, every car is a lottery ticket.