I'm just down the road in Buffalo, and I run snows on both my 5 and my 3. Saves the wear on my summer tires, keeps my rims in better condition, reminds me to keep the tires rotated and ensures that my cars can get me where I need to go. This'll be the first winter on the 5, but the snows on the 3 have been great. I just got a set of 4 16" steel rims with snows from Dunn Tire for ~$750. Even includes lifetime rotations so I don't have to bother with the jack in the driveway. As long as you have the storage space for the summer rims and tires, I think it's a no brainer.
As far as the TPMS goes, if you have it and don't have the sensors on your winter tires, the car will chime at you once the first time you drive with the winters, and then the light on the dash will be illuminated until the summer tires go back on. I've done two winters this way in the 3, and after the 2nd day, I don't even notice the light.