If you have the coupe, get the M-Aero lip -- it's perfect for the body style & I'm trying to see if I can get it fabricated to fit on my sedan. IMO, the M3 bumpers belong on M3s (your car doesn't have a V8, any1 who knows BMWs will notice that).
I'm a performance junkie, I'd say at least get a tune & an intake --- Get you up to 320 HP/330 TQ and it'll really show you how powerful that turbo'd I6 really is. If you really want the exhaust to change & not worry about drone, just get new downpipes & you'll get that deeper sound.
After that maybe some visual mods: Front/Rear bodykits, rims (you like multi-spoke, you looking for something more racing inspired or decoratic?), trunk/spoiler, headlights, gauge upgrade (I'm gonna go for M3 replica gauges: red needles & white LED upgrades for the numbers). Montego Blue is a beautiful color -- Maybe black rims & a black vinyl rap on just the roof (if it's a coupe) would look perfect