This is either really cool or kind of creepy. I'm in the latter group, but you have to give BMW props for taking cinema advertising to a new and rather interesting space.
The technique used is similar to when one looks straight at the sun and then closes their eyes. Once eyes are closed, an image of the sun is captured as an afterimage. Don't believe it? Try it when the summer comes out in six months or look it up on Wikipedia (remember that site? The one that now sounds like WikiLeaks.)

Fortunately, we can all enjoy the concept via YouTube even if YouTube is unable to burn the BMW letters into our eyeballs. Maybe someday...