There's a series resistor on the blower unit. Any time you have the fan only working on full it's the series resistor (also called a blower resistor, final stage unit, or resistor pack).
Electric motors can't run at variable speeds unless they have a controller or resistor to cut the power input. Different models of BMWs have both types. You should see the final stage on the 7-series...quite the intricate circuit board there.
On e30's it's under a cover on the firewall. On the e36 it's in the passenger footwell.
Here's a writeup for the e36.