Okay, the intended use helps. I take it you have a lot of HPDE experience and know what you want in a setup. Cool.
First, it's a ZF Type H gearbox IIRC. M3 transmission would not fit.
Best power mods come with Euro Headers (no cats in Euro, which are used for cold start emissions) and probably a tune (ESS).
This thread will help you get started. Lots to do though, since you'll need to relocate the secondary O2s and EGT, or find Euro Cats and possibly Euro O2 sensors.
Those with the 3.9 or 4.1 gears can chime in on that topic, but I seem to recall 3.9 had advantages on track vs. 4.1. BMW Motorsports did, at one time, make 3.9 gears. Not anymore, best solution I think is diffsonline for either set.
TCKline, Ground Control, and others sell coil sets for the Z4M that account for the largely E36 front end and E46 rear end. Camber plates are an option, so is the cheap solution of
camber washers from Turner. Stock you can get around -1.0 up front, coils and lowering will give more of course.
Swaybar link to get started. I can't find the thread, but last summer someone with stiffer sways and high rate springs and a lot of track days ended up with broken front mount. If you go this route, you might want to have it reinforced.
IDK, maybe try a run stock at the track, with the exception of maybe more negative camber up front (for reasons of tire wear, and pretty much needed with R rated tires from what I hear), and see what you think then. The car has some unique handling characteristics. Guys like The Hack are light years more advanced than I am in describing this, and of course driving style and skill are major variables--so again maybe try it and then figure out where to play with settings? The stock setup is pretty darn good with just a good alignment IMO. Here's
a thread on this topic, with very good discussion, and input from some very knowledgeable people on this forum.
I'd change the transmission mounts in any case, but folks around here know I'm always saying that. See the
sticky.