^^ What Trajan said.
Any oil with BMW LL-01 approval will work. Weight doesn't matter so much; it mostly depends on your climate, but yours is pretty moderate so the world is your oyster, as they say.
If you're looking for something off-the-shelf, you're looking at BMW's "house brand" synthetic 5w-30, Castrol Syntec 0w-30, Mobil 1 0w-40, and I think one or two others. All great oils.
Mobil 1 oils are generally very good at cleaning and deposit control. I'd use Mobil 1 0w-40 and stick with it. No need to use something now and switch to something else later. It's fairly potent stuff.
For filters, BMW is one of the brands for which the OEM filter is about as good as it gets. Same goes for oil, air, fuel, and cabin. Plus, the oil filters at the dealers come with o-rings and gaskets for the filter housing and drain plug.
For coolant, be careful... BMW's coolant is matched to their radiators, and not all coolants will work. I and everyone I know use the BMW coolant; I've heard that there are alternatives but I'm not sure.
Power steering, use something Dexron-III or equivalent. For ATF, check and see if you got one of the "lifetime fill" units; if so, get it changed at 100,000 miles with the factory stuff.
For fuel, of the options you mentioned, definitely 93. Shell if possible; BP, Chevron, or any other Top Tier Gas station if Shell is not available.