Of course I could be wrong since the last time I wondered about this... My E46 cannot really be made to gain lots of HP with little money. An intake won't add much, combo it with an exhuast and the biggest "gain" you'll "see" will be in the sound that it produces. Sure, you may get ~10hp to the wheels, but thats after buying a $300+ intake and $500+ exhuast. Add a chip for ~$3-400, gain some more at the wheels, though, with all that you are now over $1000. Is it worth it? I don't think so.
Best thing to do for performance is a suspension upgrade. Though, there, your looking at ~$1000+ for a Stage 1 setup. You'll have a harder ride, but that car will handle real well.
Real HP gains are from FI. Supercharging the car will cost you $5 to 6000 for the parts, the gain, ~90hp. Yea, nice gain, but that $5k tag just makes u wanna cry. For $5 to 8000, the 2.7T S4 will get a boost of 210hp, a chip alone will get it 50 to 60hp. Hmmm... not fair is it.
Save the money man, the output from our cars at this stage is rather good considering. The torque is pretty high too, again, considering. It's not always about the power, it's also about the driver and vehicle handling.