I haven't done too many mods yet (and the cost of things are already scaring me :P ), but ...

I love the M Steering wheel (E46 style) that I installed. I was originally was going to retrofit to my e36 318ti, but when I got the E53 X5, it became a direct swap and a no-brainer (I took the plunge to install it when the battery up and died).

I just placed orders for Intravee II, Alpine KCA-420i, CableJive 6' extension, Scocshe iPhone 3G charge adapter and soon a spec dock so I can iPod/iPhone the X5. This should make trips to the mountains to ski much more enjoyable and I'm very much looking forward to having all of it installed.