As far as styling goes - carbon fibre bonnet - chrome vents in the wing and front and rear spoilers! Nice. Did you see this page?
http://www.torquecars.com/bmw/bmw-range.php I'll post up some more pics of that car when I get a chance!
The front and rear aprons with side skirts can keep the car stable stopping air from going underneath (in reality just do it for looks you wont notice much effect in the real world.)
The Alpina kits looks pretty nice but they are very hard to get!
The decats are a pain as you will not pass an mot - a high flow sports cat is the best compromise mated to a sports header manifold. Cost wise sports cats are not that much more than a standard OEM cat.
Have you tried CA Automotive?