I have thought about doing it too..
It is funny that other cars like Hyundai and KIA are using full LEDs now while these most updated X6 & 3 series are all using halogen bulbs.
I have seen several cheap bulbs online.
They do seem bright, and advertised to be error free (CANBUS is the keyword).
This website seems to have pretty nice LED bulbs:
http://www.carid.com/2011-bmw-x6-led...-10268553.html
Unfortunately, our tail light housing does not have those LED "patterns" for turn signals (either dots or strips). So other than benefiting from being brighter and has faster on-off blinks, I really don't think it will make much difference.