There's a pretty large group of guys [including me] who think that revised rear gears are the single best mod you can do to a Z4M, in terms of performance-per-dollar spent. There are handful of good threads on the topic. Basically it will give you ~8% or ~11% more *effective* torque at the rear wheels, at the expense of top speed. Mileage also decreases slightly. No other mod I know of [short of a supercharger] can give you 20-29 pound-feet of additional torque. Granted a Diff change doesn't make additional torque, but you are twisting the tires 8% to 11% harder, so it's effectively there. Expect to spend somewhere in the neighborhood of $2300 to $2800 for a diff swap. IMHO Diff change = Low risk, high rewards, medium price. A good mod to have if you're having only one.
Forced induction: the "stage 1"supercharger kits from ESS and (imminent) VF Engineering will boost the motor to ~5 PSI boost and ~450 horsepower/~300 torque. Bitchin' performance but major plumbing rework to get there. Ongoing engine service gets more complicated/specialized. Rather Pricey, cheapest I've seen approaches $7K installed. Stage 2 and 3 kits get to 500+ HP but cost the same as another used car. IMHO supercharger = medium risk, high reward, high price. Feel free to disagree.
I'm dubious about pulleys. IMHO pulleys =low reward, low money, medium risk.
Suspension upgrades: coilovers are a huge win on this car. It goes from "really good" to "superb" with a good set of coilovers properly corner-balanced and aligned. Some guys do beefier sway bars too if you want to track the car. IMHO, Suspension=Low risk, high reward, medium money. Big return on investment because you use it constantly.
Exhuast - by itself (without intake and/or headers and/or cat bypass) don't get you much of a power improvement (think single digit HP gains). You DO shed some weight and add good noises. So IMHO, cat-back exhaust = low risk, medium reward, medium money.
Exhaust plus headers plus software = bigger power gains depending on flavor. Adds more good noise. Probable CELs if no software remap. Software adds another $1K on top of hardware price, so IMHO Exhaust plus headers plus software = medium-low risk, biggish reward, medium-large price. Almost requires that you also do an aftermarket intake to add airflow, so plan on another $500 to $900 there.
ECU software alone = mild to moderate improvements in power depending on local octane availability. Increases DRIVABILITY significantly. IMHO ECU software = nice to have but not required unless you are doing the intake/exhaust upgrades above, or a supercharger -- then it's mandatory. So IMHO, ECU flash = mild risk, mild to moderate gains, relatively mild price.
Also, better tires make a significant difference. I don't consider them a "mod" as sooner or later tires are mandatory. Same with CVD and a proper alignment. I highly recommend corner balancing the car if you get coilovers.
I have a lowered race clutch pedal in my car to facilitate clutching with a fake [replacement] knee. The throw is about five inches top to bottom. Shifts fast
That's my take on the most common mods. I've tried many of them and researched the others. I am currently running 3.91 gears, Remus exhausts, Powerchip software, and KW suspension. The car is running and driving soooo sweet right now; best car I've ever owned by far.