Dinan used to offer a CAI for the X3 (I have one on my '04 3.0), it picks up cold air from behind the headlights and off the left side brake cooling duct. I aalso have the free-flow muffler and upgraded engine software. It makes a noticeable, though not dramatic (113 HP, 11 ft#), improvement in throttle response. My mpg went up a little, too.

AFE makes decent stuff, popular with a lot of modders, worth a look.