Welcome to United Bimmer! Glad to have more Calgary and area guys on here!
I used to go to Bobby at Tunerworks for a lot of my parts. Mostly for convienence. He's a good guy to deal with and can get a lot of things. I got my M3 bumper, rims, intake, and suspension from him and I have no complaints except for a shipping one which wasn't their fault.
What's yor budget? Are you trying to mod the car while being financially conservative?
I have the Jim Conforti CF CAI and I really like it. The look of the CF is nice and accepts the engine bay. The sounded excellent as well, nice and throaty. As for a chip I would look I to the Jim Conforti one. Their highly recommended by numerous guys and have been known to provide good gains. Jim Conforti makes some good stuff. Instead of headers I would get under drive pullies. Better bang for your buck IMO. The CAI robs a bit of torque for increased HP and the under drive pullies bring that torque back. I installed my CAI and Under drive pullies at the same time and noticed a decent gain right away. As for exhaust I hear the UUC Motorworks RSC36 is an excellent exhaust. Its the exhaust I'm currently looking into. Their priced a lot better then a Supersprint or Remus and sound just as good. Hit up YouTube to listen to some sound clips. they can be found for a good price used on BMW classifieds.
Their isn't a coil set that is better then stock. All those "high performance" ones will just lighten your wallet. With fuel injected injections increasing the spark it's as effective as it was in carbureted ones. A Dinan throttle body is $750. Not worth the cost in my opinion. The fan delete mod would be better.
Don't order from KO performance. Their a crap company and will take your money. Below is the link to the UUC exhaust.
Since your in Okotoks you should also check out ProjectTechnik.com. It's an Alberta BMW forum. Lots of good guys all local. One of the guys Nick (board name 24V E30) owns Nurburgring Ltd. a BMW shop down by chinook centre. My board name over their is Vader.