Negotiating with a dealer

Hi all--

I will probably buy a BMW 3 series later this year. I have been doing my
homework on the Internet and visited a dealer a couple of times.
Exchanged some e-mails with the dealer in the next town over.

I think I'm going to want an all-wheel-drive model. My question is, is
it ever possible to order a car (not buy off the lot) and retain any
ability to negotiate a good price? I'm pretty patient, but I doubt
whether I will have many chances to find close to what I want on a lot.

This is a pretty basic question, but I haven't seen it addressed on the
car buying sites. I have just sort of assumed that you can only bargain
well if you can convince them that you will walk away if you don't get a
reasonable deal. (Do you have to pay something down when ordering a car,
by the way?)

You might be interested to know that when I requested one of those
competitive quotes over the Internet (I think this one was from Kelly),
the BMW dealer in a large city in TX quoted me exactly MSRP. Do they
think people are dumb, or is an 06 Bimmer hot enough that it's
non-negotiable right now?

Thanks for any comments,

Amanda