What about the beemer you already have? Don't like it? Do you have a "buy at end of lease" price in your contract? Is it more or less than you think you could get one for on the open market? If it's more, turn the car in, then go back and buy it. Don't get ripped off for "excess wear and tear." Maybe get an inspection report from an indie mechanic right before you take it in.
Are you looking for something nice, some class of car or maker? Or just a reliable commuter? Cars over a few thousand bucks tend to sit in a private seller's yard b/c noone has the cash and bank financing doesn't work well with private parties. You might get a killer deal on, say, an 01 camry that the dealer tried to gyp the seller on trade-in.
Are you at all handy? Would you be willing to do repairs? Are the mechanics around you honest and competent or a bunch of crooks? (I credit or discredit a good voc-tech school for pumping them out or holding them back regionwide.)
It sure is easier to find a car, when you have a car, so you've got a prudent plan of action.
I like private party sales of course. I use craigslist and completely ignore KBB values. In fact if someone brings up blue book that's a minus to me, it seems like they're trying to extract top dollar. I look for people that truly seem desperate and to want something gone. I tend to buy "beaters" from the bottom of the barrel however. Lousy apartments with few parking spaces and mean landlords are a good indiator of the duress of the seller. "Move this car or move yourself" is quite motivating.
I look for a listing that's been relisted a couple times. Then I whip out a stack of $100s and lowball 'em. I aim for a 50% success rate, that is, for every car I buy I wind up not buying one b/c the seller refuses my offer.