I know on the 06 Z4 you just have to pull toward you a little harder, its kinda spring loaded reverse and first are side by side they do this to keep you from shoving it in reverse on a shift down.
The 2006 BMW M3 has a 6-speed manual.
The 2006 BMW X5 has a 6-speed manual.
The 2006 BMW Z4 has a 6-speed manual.
The 2006 BMW X3 has a 6-speed manual.
The 2006 BMW M5 has a 7-speed automated manual.
The 2006 BMW M6 has a 7-speed automated manual.
The 2006 BMW 6-Series has a 6-speed manual.
The 2006 BMW 3-Series has a 6-speed manual.
The 2006 BMW 5-Series has a 6-speed manual.
According the the Owners Manual for the X3, any malfunction with bulbs inside the lift-gate (which is where the reverse light is located) need to be brought to a BMW dealer.
BMW Sections.com
The 2005 BMW M3 has a 6-speed manual.