Yip, it wasn't too hard but cost us a little extra than getting it in NZ (€50 instead of €30) - random! I just had to convince them to look up the visa requirements for New Zealanders (applies to Aussies too).
Re:
health insurance... you have to have it get the visa. I was asked for proof and it's supposed to be 12 months - I had 10 months (went to Oz first) and the immigration office here said to come back in 10 months with proof of new insurance. I used Southern Cross from good old New Kiwiland but I reckon it's a rip-off. My girlfriend used this place
www.1cover.co.nz - it's cheap.
Also make sure you have proof of funds (bank statement is ok). They do check sometimes (I was checked but my girlfriend wasn't).
If you're willing to spend half a day in the Ausländerbehörde then it's no problem. Do you know any German? Don't expect the officials to know English, as my girlfriend found out (I managed to get us through ok with bad German!).
PM me if you do decide to get it in Munich. We can meet up here and I can give you some more help.