Try owning a Porsche. Everything for the BMW is cheap.
Just kidding man, we're in the same boat. "BMW... expensive, and built to stay that way!"
Actually, it depends on where you go & what you need. If you look around, it's usually not that bad. I've found generic parts that were actually re-pkgd Bosch stuff for the 911, found that if you point a cheaper place (like RockAuto) to the bigger name P-car parts vendors, they'll match pricing (try dropping $200 on an O2 sensor instead of the $45-$65 for the SHO). On the up-side, I can still get 90%+ of the factory parts even after 24 years... Ford was dc'ing parts for the SHO <7 years after mfg. in the case of some parts.
I just dropped about $2700 in new suspension parts for the 911... new Sander / Elephant Racing torsion bars (springs), Bilstein strut inserts / shocks, Lemforder ball joints & turbo tie rod ends, oem strut mounts, Elephant Racing poly-bronze bearings for the a-arms / rear spring plates, new swaybar bushings, etc.
Not a lot of parts for the price compared to doing Tokicos (when you could get them; incidentally Tokico still has them listed on their site) / Eibachs, TPR bushings & aluminum SFBs, endlinks, LCAs, Rear H-brace, rear control arms, strut tower braces, etc. on the SHO... figure half the cost maybe on doing the SHO's complete suspension over, you doing the labor. An alignment / ride height adjust / corner balance is between $250-$450 on the 911.
The SHO's not that expensive if you think about it, and my 91 SHO handles about as decent as my 911 right now, pre- 911 mods.
And yeah, don't buy from Ford unless you have to. There are plenty of other places you can find SHO parts cheaper (if they're available). Look around, ask here first before hitting the dealer. Good luck!