Vacuum leak is a good suspect. Vacuum leaks that are tough to find and are most noticeable during warmup can be at the intake manifold gasket.
I have problems with rough cold idle on three of my four high mileage 3-series cars. They appear to be combinations of several small problems. Two repairs that I did this year that helped, but did not eliminate the rough cold idle were:
1) Replaced the cam position sensor on one of my '97s
2) Replaced the secondary air pump check valve on the other '97.
Who knows, if I do each of these repairs to the 'other' car, perhaps I will completely correct the cold rough idle on the e36s.