M Sport/M3/M5 steering wheel is far and away the best mod, especially for the buck. It's something you use every single moment of your X5 experience.

HP increase: 57.
I retrofitted Anthracite Maple wood myself and it was a satisfying DIY that looks great. It's also unique because my X5 is an '02 and that color of trim was not available that year.

HP increase: 33 if 94 octane gas is used.
I've got other mods but these two are simple pleasures.