From my experience on my E39 Conti-CSC3 before and after (started brand new tyre, high speed balancing and wheel alignment).
On normal air, I felt harder tyre contact to the road and some vibration. On nitrogen, the tyre is softer, less vibration, less noise and more comfortable. According to tyre man, nitrogen gas contain less moisture and it is much cooler than normal air thus it keep the tyre cooler and spin evenly. It can resist higher preasure and that's why all airplane tyres are using nitrogen. When you buy new tyres, they will not charge you for nitrogen.
My E60 tyres are still on normal air cox the tyre shop does have nitrogen. Will change to N2 later.