Assuming no maintenance issues or needed refreshes, I'd drop $200 for a used, shorter ratio differential (3.38 is generally recommended); however, if you want to spend an extra $1,500 to optimize your traction, go for an MFactory LSD (while it's out, you may also want to opt for a Z4 cover for another $150). After that, I would go with some APEX wheels for about $1,000 (I like a square set-up, but that'll cost you at least two new tires). I'm sure many people would say go with the wheels first, and it is a tough call, but you will notice the extra torque from the shorter gearbox more than the lighter wheels (although they are great) and, if you go the open diff route, it's a lot cheaper.
The little things I notice a lot are the CDV delete (much better clutch feel, $0), the TMS pedals (soooooo sharp, $150 including dead pedal), and the Wheelskins steering wheel cover (very nice, $60)--in that order.
2004 BMW 330i ZHP (52k miles), Jet Black with black leather, MFactory LSD (3.38) with Z4 cover, 18"x8.5" ET38 APEX Arc-8's (Anthracite) with 245/40 Michelin PSS', Koni Sports with factory springs and front and rear reinforcement plates, Shark Injector, Corsa TSE3 cat-back exhaust, TMS under-driven pulleys (water & steering), CDV delete, TMS CF strut brace, K&N CAI, GAS DISA rebuild, TMS pedals, Wheelskins steering wheel cover, roller tray center console, black-out grilles, and WeatherTech mats