Having the same problem for the first time. Very frustrating! Had Glow plug error messages recently but no one has found fault with them as its an intermittent fault- the worst kind! I took them all out tonight & checked them myself using the cars own wiring and sure enough, they work fine- glowing away nicely. Fuel pressure has been checked at the lift pump & at the rail and is fine. The car started this evening after being outside in +/- 1deg temperatures all day. It hasn't started on a morning ever since the snow came last Friday though. Just spins over very very fast, at which point I know to give up now, as there's no chance of it starting!
I've spent hours on here looking at other peoples similar problems, and the only thing I can come up with is a possibility of something being wrong with the glow plug control unit/relay (on the bulkhead) Strange that this would be temperature sensitive though?
It's times like these that you accidentally start looking at BMWs on ebay! *washes mouth out*
The frozen north.