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^^ if you are just replacing the cans, then: no, it isn't hard, and you don't need to weld anything. The difference between all the exhaust options is the sound and the level of drone. I first got some RE Diablos, but they were too loud (drone) for me. The drone is just annoying under load below 3k.
If you are looking to do more of the exhaust, like mid section, headers, etc then it is considerably more work, I can't attest to it because I haven't done it. With headers, you need to be careful because in some cases there are complications with the O2 sensors, etc.
What you will find with the BMW aftermarket is that things are generally more expensive...at least for the Z4M. Because the production numbers were so low, there is limited demand (and thereby suppliers), so the costs are higher.
I ended up going with the Stromung exhaust because I didn't want excessive drone and added an AFE intake, and for me the car sounds great now. The sound is subjective though, so you may want more. There are a lot of guys here that run headers, x-pipes, cans, intakes. Lots of good info here.
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