Welcome! Nice looking X5!
03 models will have permasealed headlights. I've opened a set once. It was extremely time consuming. It can be done but I wouldn't recommend it to anyone. Many here go to Depos.
Depo | Aftermarket Headlights | Led Tail Light Replacement | Kbcarstuff.com
As for sound system it depends on your goal. If you just want a speaker upgrade, you can do so from Bavsound.
Stage One BMW Speaker Upgrade Kit engineered for your specific BMW | BAVSOUND. If you only want to gain features you can do that with a mediabridge.
Audiovox - Driven by DICE Electronics LLC - MediaBridge
If you want the latest and greatest there are at least 3 options that there have been thread about here.The most popular seems to be this one.
http://www.xoutpost.com/bmw-sav-foru...questions.html