Honestly, the BMW's are a different beast vs the japanese built cars. For the most part, the exhaust and intakes on these are pretty damn good right from the factory. You might gain a few HP, but nothing major can be gained from bolt-ons. Big HP increases means finding a reground camshaft and that can be some serious $$. Tuned exhaust headers help a fair bit, but again, serious $$ for the right ones. For the most part, bolt-ons are really good at depleting your bank account.
Best bang for the buck: Chip the ECU. Most HP for the $$. You'll have to run Premium (91 octane), but the gains are nothing to sneeze about.
I wish you well on your quest.
1994 530i 5 speed - RIP due to a dipshit that can't do overshoulder checks and ran over the front end with his Jeep!
1989 325i - RIP due to a knucklehead that rammed the car in the butt doing 50 km/hr while I was stopped at a intersection!!
New ride: 1998 318i