Just trying to give you some ideas, I haven't ever removed the ignition cylinder that I can recall. I think you have to put the key in to remove it??? Have you removed the ignition switch from the back? (don't remove the wires)
I would talk to a locksmith to get an idea of cost to work on it if you can't get it yourself. It's relatively easy to pull the whole steering column compared to working under the dash, if the splines on the shaft near the steering gear box aren't rusted.
You may want to consider a replacement assembly. (The electrical ignition switch is $60-90 by itself, but you'd have to re-key the doors to match):
http://cgi.ebay.com/ebaymotors/New-BMW-2002-2002tii-ignition-lock-assembly-OEM_W0QQcmdZViewItemQQcategoryZ46101QQihZ018QQitemZ280008275609QQrdZ1QQsspagenameZWD1V_________________