The .bmx folder is where all of your compiled modules are stored when they are built. If you delete the .bmx folder, then all of your source files will have to be recompiled when you rebuild the source code, not just the ones that have changed.
And this can cause a problem if one of the files in the directory are corrupted. On one occasion I know about, I had a bad/corrupted/locked file in the .bmx directory, and it was giving me trouble compiling. I thought it was my code... it took me a while before deleting the .bmx directory.