This is an interesting thread and hopefully I can add to it from my recent experiences since both the E90 and E46 required dealer services within the last 2 months.
In both cases I should have sourced the Cabin Microfilters from G-Drive since they have the Meyle proper Carbon Activated pollen filters, and for fairly reasonable money especially compared to the agents! If I remember correctly, R460 for the E90 and R200 for the E46 versus R800 and R700 from the agents respectively. I ended up buying GUD Cabin Microfilters from Midas which had the best prices for these, but in both cases they were normal pollen filters and not the proper Carbon Activated tyres (the branch that I dealt with is too stupid to know the difference and said they were on the phone when I made enquiries).
OEM oil filters are still cheaper for these two cars (and I presume this should apply for most), and even if there is a slight cost saving going for aftermarket, I am somehow more comfortable with the OEM filters for this.
Spark plugs from the agents are more costly than other suppliers like G-Drive, Midas, Masterparts, Goldwagen etc. For the E90 330i the agents quoted me R230 each some years back, but the equivalent Bosch plugs are less than R100 from G-Drive and similar from other places. Same sort of thing with the E46.
Engine air filters were fairly well priced from the agents a few years ago, but they seem to have become more expensive lately! In this case I once again ended up going for the GUD air filters from Midas which are perfectly fine.
Since I am still running my cars on Castrol Magnatec Professional 5W30 LL01 I source it directly from the Castrol Depo and paid roughly R60 per ltr which is a nice saving!
My advice is to always make a list of all the items needed and to price them from the agents first, then see what the other suppliers have for their good quality aftermarket parts. If the OEM parts are priced close enough, then I'd say go for the OEM parts. If you want to buy everything from under one roof so to speak, then you are not always going to have the greatest cost savings. But then again, it's pointless driving halfway around the countryside to only save a few Rands...