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1) Clear corners. Easiest mod ever, really cheap too. I think the amber turn signals are ugly.
2) As for the engine, I would personally play it safe and go with Dinan (if you live in the US or Canada). All of their products are covered under the BMW warranty, but this will cost you a little more. The Dinan S-330i costs ~$2,500, and gets you Stage 2 Engine Software, Cold Air Intake, Free Flow Exhaust, and a Strut Tower Brace, as well as some Dinan floor mats, and a badge. Total gain of about 14hp (not much, but its hard to get power out of that engine naturally).
3) You could wait n' save to buy an Active Autowerke SC kit ($6,500) that will get you much bigger power gains then any kit Dinan has made for the E46. Were talking ~340hp, thats more then a stock M3 (granted the M3 is lighter).
4) Otherwise I would check out Turner Motorsports or BMP Design for either cheaper or more powerful (or both) modifications then Dinan, just without the warranty.
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Kimi Raikkonen 2007 WDC
Scuderia Ferrari 2007 WCC

"I collect walnuts"
-Kimi Raikkonen on his hobbies outside of F1
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