My buddy and I are building a Z4 race car (2007 3.0si Coupe with the N52) and we are more than likely going to be doing this:
See post #3
More info here too:
Should be much cheaper than a true SS header, plus no waiting for someone to develop it. Dyno tested 15rwhp without a tune is really good. Hopefully with an off-road tune we end up getting about 20-25 crank hp added.
For those running your cars on the street, make sure you don't have an issue passing emissions tests. If you remove the cats, there will more than likely be an issue passing the test.