BMWCCA runs autox events.
http://www.njbmwcca.org/event_info/autocross.php
From what I know, they're very well run, though no first-hand experience (at least, not yet). Unfortunately for me, the group I usually do autox with, Motorsports NE, isn't doing any this year, as the Meadowlands parking lots aren't available.
I might have to do a couple of events this year (probably in the crx, not the Benz - fat guy in heavy car equals no fun on autocross course).