Yup, Kish has pretty much covered everything - and thanks for the reminder to take a look at the DISA flap - been meaning to do that.
Last port of call on Kish's mod list would be a suitable remap to compensate for the increased flow from the headers / decat... It's worth a few horses, and would also help with cruising fuel consumption a bit, But don't expect massive HP increases. If you're at altitude, the Vanos should be able to be tweaked a bit further than at the coast.
I'm pretty much in the same boat as you - got my 330i on Saturday, and have already fitted an intake... Just gonna take care of a few maintenance points and sort out the steering wheel / seat scuffs before my new modding odyssey begins...
Headers + decat exhaust
Remap
LSD on the stock 2.93 ratio if possible (I like the long gears, hmmmmkay?)
Projector headlights + Xenon retrofit
Dynavin or similar NAV head unit
18/19" wheels
And a few other little odds and ends...
That's all provided I don't just bite the bullet and buy my mate's E46 M3..