Yep, agree with tmJac...Plenum, CAI, HiFlows, Headers, y-pipe, zorst and then a piggyback ECU of some direction should have you almost there. People have done it in the UK and it is proven...
If you got an import then you may get lucky on if the ECU changes things...
Even if you go the Cosworth route you would still need to piggyback it!
Which ever way you go make sure you dyno on the way to make sure your going in the right direction....
Brakes and suspension, worth doing too, cant belive your that far behind an 02 M3.... They may have a few more BHP but then there not exactly lightweight..