I think you will be happy with the power of a 4.4. I came from an e36 M3 and am satisfied. I am getting pretty decent gas milage with 18.5 combined. The 4.6 chew up a lot of gas compaired to the 4.4.
As far as turboing... Not happening on an X.
Supercharging is an option. Very pricey.
www.dinanbmw.com Dinan, if you didnt know is probably the very best and also most expensive tuning products specifically designed for BMW's.
Intake.. aFe intakes seem to be the norm.
Exhaust.. Dinan has one, superprint, Remus. Lots of others.
Suspension: If you get an X with Sport suspension ie (black window trim) you wont want to upgrade it. Its firm and very sporty/fun.
If you get one without sport (chrome window trim) like mine.. It will leave you wanting an aftermarket suspension.
Glad to convert any Audi customer to BMW. My girlfriend just got another Audi (A5) because she knew it would piss me off lol.
Check out Bimmer magazine in Barns and Noble for some good reading material on bimmers as well.