Nice ride welcome to 335i ownership!
I reckon most of your questions have been raised on here and there are lots of answers too. A couple of things though:
- Tune forget the $1800 tunes you have seen elsewhere. Most guys on here are JB4, Cobb or Procede. At most, it will cost half what you were talking about. I reckon it should be one of the first mods you do after all the maintenance things are taken care of.
- Downpipes most on here have gone for aftermarket catless DPs. There are many options around now. The 02 sensors are always retained, not removed.
- Exhaust do the DPs first and try the golf tee mod (do a search). See if you like the sound after that. If you want more noise, only then go for an exhaust as it is only for the noise rather than much power gain.
- Whiter AEs there are heaps of options out there now.
- Wheels and tyres as above!
- LCI lights forget doing the headlights, upgrading the tails are worth it just for the updated looks.
Enjoy!