I'd say Tune, suspension, sway bars and Quaife LSD for starters. If you feel like needing more power down the road get the Intercooler and free flowing downpipes to use more aggressive maps.
The best performing angel eyes are the LUX imo. About the ssk cant help, mine's a DCT.
Except downpipes, all intercoolers will fit the Z4, its just that some dont require small trimming.
Have fun with the Z once you get it, its a beautiful car compared with the 135
