I just took receipt of a 2006 X3 with the Sport Package. In addition to the items listed by jaaX3 it came with the following:

//M door sill strips (front only)
Sport silencer (no vacuum-operated flapper valve, larger exhaust tips similar in style to the M3 tips, not chrome covers)

Regarding the ride, I also got the 235 / 255 performance tire and 8.0 / 9.0 wheel option. DEFINITELY a smoother ride than the '04 and even the '05 Sport package, yet it still maintains outstanding handling for an SAV. I am throughly pleased!