First of all welcome. Next of all, if you want substantial amounts of performance your going to need to go F/I (Forced induction(turbo/supercharger)). With N/A its hard and costly to get a lot of performance out of anything other than bolt ons. How substantial are we talking about? If you don't want gobs of power then just doing the suspension, intake, exhaust, chip, ssk, would be pretty good.
You should start by reading. also check out other forums also like bimmerforums.com, they have lots and lots information, just find some threads and read.
Were kind of a small community here so if you have any problems that you can't answer by searching just post up!