No, not all 335's are fitted with the oil cooler from the factory. Only "i"s with the sport package, and "xi"s with the sport package and 18" tire option get them. I have an early build (10/06) 335i with sport and AT. The early AT's did not get the oil cooler, where the MT's did. Most of the retrofitted oil coolers are going into those early AT's with sport pkg(like I just got). You will have a very hard time convincing BMWNA that you need an oil cooler if you don't have sport package, unless you actually can prove to them that you have limped because of oil temps.
Unfortunately, I doubt the Hamanns are going to fit your car. The E46's (that's the M3 you were talking about right?) had a lot larger + offset than the E90/E92 does. You might be able to get away with them if they were 18's, but I doubt you will with them being 20's.
Be careful with the catless DP's, because BMW will give you hassle were your car to have any major warranty issue. I will probably go to catless DP's when I am out of warranty and don't have to worry about it. Also they won't really gain you anything unless you have a tune on your car.
I don't think you could go wrong with the V3 or JB3. As far as JC, it might still be a while until he comes out with his flash for our car. At first he is just going to come out with a way for other tuners to re-flash the car, and will not have his own tune like the shark injector. So you may still be buying re-flashes from those like Burger Tuning or Vishnu.
And post up some pics of the ride! Welcome to the party!