First of all, welcome! :welcome:
Sport seats are more adjustable than the standard seats. They offer a stiffer bucket shape and are able to keep you in place better during cornering. Not everyone likes them, but some people are die-hard over them.
You can only get sport seats if your X5 is equipped with the Sport Package. They are also retrofittable at an astronautical cost.
The M Steering Wheel can be retrofitted in your X5, but you will need to purchase a new round airbag since the current rectangular won't fit. That will however double your cost for this mod.
Adding angel eyes is a completely subjective thing. Some people like it, others like not to imitate the 2004+ X5s (I'm one of them). If an angel eyes kit is installed properly it has a very nice effect.