Speed matters in the CFA exam. It's worth investing some time to learn how to use your calculator better.
And you're in luck!
Having actually gone through both BA II Plus and BA II Plus Professional manuals, here's the ultimate list of a few lesser known, super handy timesaving BA II Plus functions that you need to know for your CFA preparations, regardless of level.
These tips and advice apply to both BA II Plus & BA II Plus Professional calculator models.
I'll start off with a discussion on which BA II Plus calculator I prefer (and why), moving on to the recommended calculator settings for CFA exams, then jumping into details of each function I found useful, before ending with the usual FAQ section.
Enjoy!
 BA II Plus vs. BA II Plus Professional

BA II Plus Calculator  3 Recommended Settings For CFA Exams
 Increase To 9 Decimal Places
 Set The Period Per Year To 1
 Use Algebraic Operating System (AOS) Instead of Chain Method (CHN)

How To Use BA II Plus: Additional Tips & Functions You Should Know
 Parentheses (Or Brackets)
 Clear Entries & Memories: Backspace, CEC, Clear TVM and Clear Work Buttons
 Power Function (Exponents): The K function and y^x button
 Memory Function: Storing & Recalling Values and Clearing Memories
 Stat Function: Crazy Shortcuts To Standard Deviation, Variance & Mean

BA II Plus Help & FAQ
 Why Is My BA II Plus Rounding?
 Can I Solve Normal Distribution Questions With BA II Plus?
 My BA II Plus Calculator Is Not Calculating Correctly, Help!
 How To Reset A BA II Plus Calculator?
 What Is The Typical BA II Plus Battery Life?
 What Battery Does BA II Plus Need?
 How Do I Change/Replace My BA II Plus' Battery?
BA II Plus vs. BA II Plus Professional
Having tried both, I would recommend using the basic BA II Plus model instead of the Professional version. Here's why:
I prefer BA II Plus simply because:
 it does the job well,
 it is lighter, and
 the buttons press is superior without much force required  this is more important than you first think (see below).
Whilst BA II Plus Professional certainly looks better and feels more premium, I felt the effort to make it premium (weight and button press) did the calculator a disservice without extra benefits vs the "basic" model:
 More expensive
 Nearly 50% heavier than BA II Plus (including its cover)  yes, we measured. The Professional version doesn't come with a cover by the way.

The button design is really my pet peeve here:
 Sure, the Professional version's buttons feel more premium, however they are harder to press and not as responsive when keying in data. If you use this for hours, you can't really afford to constantly check if data has been entered correctly. This can present quite an unnecessary source of calculation mistakes.
 Also, the Professional version's button are all the same colour, in an effort to look sleek. The 2ND button is just a shade lighter than the rest. But that's it. Having the colour differentiation across the numbers, 2ND button and TVM functions are actually quite handy, for me at least.
 What about the extra features in Professional? I don't find them necessary nor worth it, the touted NFV additional function only applies very select cases of NPV, and can be done via NPV yourself anyway. It is better to stick to the standard NPV function and learn one way to doing that to avoid confusion and waste time with unnecessary complexities that overall don't save much time, nor is tested often.
You don't really need BA II Plus Professional. And you certainly don't need a calculator to tell you that you're an Advanced Business Analyst, vs. just a Business Analyst :)
BA II Plus Calculator  3 Recommended Settings For CFA Exams
If you accidentally did that (or if one of the proctors did that to your calculator before the exams  it happens), make sure you learn how to reconfigure your calculator settings as below.
1) Increase To 9 Decimal Places
Screen will show 'DEC = 9'. If there is no ' = ' sign, press ENTER again to register your settings.

Your calculator's default is 2 decimals. For the CFA exams, we recommend a 9 decimal setting for floating decimals.
Floating decimals essentially means that the calculator will show as many decimals (up to 9, in this case) for each number as needed. For example, with a 9 decimal setting, the calculator will show 2 as 2 (with no decimals), but will show 2.39756732 as 2.39756732. 
2) Set The Period Per Year To 1
3) Use Algebraic Operating System (AOS) Instead of Chain Method (CHN)
How To Use BA II Plus: Additional Tips & Functions You Should Know
This section is not meant to be a comprehensive section about all the IRR, NPV, TVM and CF functions that you need to know for your exams, but rather a few tips that hopefully speeds up your calculation process whilst maintaining accuracy.
Parentheses (or Brackets)
Clear Entries & Memories: Backspace, CEC and Clear TVM Buttons
Backspace button

This is a useful backspace button, especially when you make a mistake in the middle of typing out a long equation, you don't have to restart.
For example, pressing 2 x 3 → 2 = will give you 4, as you have reversed the mistake of pressing 3 without the need to restart the whole operation. You have better control and can delete by character/numbers, rather than clearing the whole previous entry like the function below. 
CEC button: 1x clears previous entry
CEC button: 2x clears everything

Using the same example previously, pressing CEC once clears the previous entry entirely, whereas pressing it twice clears everything.
So 2 x 3 CEC 2 = will give you 4. 2 x 3 CEC CEC will just give you 0, as pressing CEC effectively clears everything in the calculation. Pro tip: Press the CEC button twice to clear your calculator before moving to the new calculation. 
CLR WORK button

If you want to clear just an individual memory, just store a zero value in it. More info on how to store values further below →
However, if you want to clear all 10 memory slots, press 2ND 0 2ND CEC. Remember, clearing memory before starting a new calculation is key to avoid errors. 
Power Function (Exponents): The K function and y^x Button
y^x button

To use the power function or do exponentials, use the y^x button.
Make sure you have set your calculator to AOS mode first. Then try this example: 5 x 10^3. The calculator keystrokes are: 5 x 10 y^x 3 = , which should get you 5,000 under AOS setting. You can even use fractions in the exponents, e.g. 3 x 100 y^x 0.25 = 9.486832981. 
Memory Function: Storing & Recalling Values and Clearing Memories
Storing & Recalling Numbers
To store a number:
To recall a number:

Storing values are crucial for more complex calculations. Storing (STO) and recalling (RCL) numbers in the calculator's memory speeds things up significantly.
To store the number on your calculator screen, press STO then for example 1 to assign it to slot 1. To recall that same number, press RCL 1. Lifesaver! 
Clearing All Memory / Stored Values

Finally, you need to remember and know how to clear stored values:

Stat Function: Crazy Shortcuts To Standard Deviation, Variance & Mean
Best to illustrate this with an example with sample data set: 20, 15, 5, 3, 8
(Repeat ↓ as needed)

7) Finally, you enter into the Stats function to see '1V', which is the correct setting.
By toggling with the ↓ button, you'll see the results:
A quick way to get the population mean and standard deviation! 
The Stat function's true timesaving power comes when you're asked to look for standard deviation or variance in a slightly more complex question like this:
Asset Type

Weighting

Return

Real Estate

0.55

2.3%

Equities

0.35

9.0%

Bond

0.10

3.1%

2) In this case, X variables are the return, Y variables (frequency) are the weighting. It is important to note that the frequency data (Y variables) must be entered in whole numbers for this calculator. This means that for the weightings, we just enter 55 for 55% (not 0.55) and so on.
3) Proceed to enter data into X01, X02, X03 for returns and Y01, Y02, Y03 for weighting. 
4) Finally, you enter into the Stat function, which should say 1V, and scroll down for your answers:
Voila! Now that's a crazy time saver. 
BA II Plus Help & FAQ
Why Is My BA II Plus Rounding?
Note that changing the number of decimal places affects the display only, as the the calculator actually doesn't round internal values (except for amortization and depreciation results) which it uses for calculations.
If you want to round the internal values, use the ROUND function (2ND STO buttons).
Can I Solve Normal Distribution Questions With BA II Plus?
You'll need to know how to use and read from the ztables provided. and more importantly, memorize 6 critical zvalues for the CFA exams.
More details about these key values are provided in our Free Probability Distribution Tables article →
My BA II Plus Calculator Is Not Calculating Correctly, Help!
Here's a few list of things to check to troubleshoot, assuming your inputs are done correctly:

TVM calculations:
 Did you Clear TVM worksheet? Before starting each TVM calculation, just make you clear your previous work (it's good practice)  just press 2ND FV buttons.
 END vs. BGN mode: Make sure that your calculator is in the END mode, rather than BGN mode. If it is in BGN mode, you can see it in the top part of the screen, and just press 2ND PMT 2ND ENTER 2ND CPT to switch it back to END mode. It's useful to know that the factory settings has END mode by default as well.
 + and − signs: Make sure that the signs of PMT and FV are the same, and opposite to the PV. Don’t enter (+) for FV and PV, for example, as it will trigger Error 5 (i.e. no solution exists). Another tip is to double check that cash inflows are positive and outflows are negative.
 I/Y format: Remember that I/Y is given in integers not in decimals.
 Clear everything before you start: Press CEC button twice and 2ND 0 2ND CEC to clear all 10 memory slots.
 Check your calculator settings: Press 2ND . ↓ ↓ ↓ ↓ (↓ button 4 times) to go through the main settings of the calculator, just to make sure everything is correct.
How To Reset A BA II Plus Calculator?
 Press 2ND then +− buttons.
 You'll see RST? and the Enter indicators on screen.
 If you changed your mind at this point, just press 2ND CPT to cancel reset. The screen will then show 0.
 If you would still like to proceed to reset, press ENTER, and the screen will show RST and 0 to confirm that your calculator has been reset.
Hard reset option: You can also reset the calculator by gently inserting a pointed object in the hole marked RESET at back of the calculator.
What Is The Typical BA II Plus Battery Life?
As far as we know, they last forever. None of our calculators have run out of battery, and some of them have been in constant use for more than 10 years!
What Battery Does BA II Plus Need?
Make sure you get the right one, as there are other batteries that have similar sizes, such as the CR2025 and CR2016.
How Do I Change/Replace My BA II Plus' Battery?
 Things you need: A single CR2032 battery, a small Phillips screwdriver (00 size), and preferably something to prise open the calculator shell
 Unscrew all 4 screws at the back of the calculator.
 This is the tricky bit. Even without the screws, the calculator shell is held shut with plastic snap locks. It's very frustrating to try and overcome this by hand so use a penknife or a small slotted screwdriver. Watch the video to see the best way to quickly pop open the shell.
 Change the battery. In the older BA II Pluses, the battery is held together with two more Philips screws. In the new model, you can just slide it off.
 Pro tip: Once you've changed the battery, quickly check that the calculator is working BEFORE you reassemble it!
 Snap the cover back on, and screw the screws back on. You're done!
 You should know that it's noisy. Changing your battery makes a shit ton of noise. The thunderclap sound of snapping the calculator shell open and shut, your grunts and miscellaneous clatters will all sound quite loud in the exam hall. If your battery needs changing, change it a week or so before the exam.
 Another pro tip: Your calculator's data is not retained when the battery is removed. Therefore, replacing the battery has the same effect as resetting the calculator, so make sure you reconfigure to your preferred settings right away before using it again.
P.S.  Meanwhile, here are some related articles that you may find useful:
 Still unsure which calculator to choose? Check out our BA II Plus vs HP12C calculator guide →
 Decided on HP12C calculator? Remember to refer to our HP12C Calculator Guide for CFA Exam →