Yep, that's exactly what I'm running. The car is slightly slower at times, but there is much less shifting. Around town, I can still start in 2nd gear even on slight uphill grades. The 4.10 makes 1st gear useless for my driving style. That makes the car feel a bit handier IMHO. The car is at its bets on the highway though. Given that I prefer to average about 75MPH, the motor is turning about 3K RPM (just under the motor's torque peak). It's a great setup for quick passes.
But I'm no speed freak by any definition. The best part is the excellent fuel mileage with this setup - 31MPG overall average during my ownership. I always figured I'd get a 328i or M3 if I wanted to go fast. I am also running OEM BMW 14" rims with cheap 195/70 tires, ~25" circumference IIRC - don't forget to factor that into your desired final drive ratio.
But if you're an acceleration junkie...you'll be far happier with a 4.10, or even the seek the exotic 4.27 & 4.45 LSDs I've heard are out there.