I wouldn't change the cats. They don't do that much for your horse power (5hp maybe 10hp). But, if you do want to keep your exhaust original but unique, do what I did. I removed the center resonator and installed an X-Pipe. It sounds GREAT. It is noticiebly louder than stock, especially on start up. When in idle it sounds basically stock but when you really give it some gas, it sounds amazing. Not too loud and definitely deep, a real nice growl.
As for the other modifications, I was also thinking about getting different tails. I would like to get the LED tails with the smoked reverse lights and smoked tail lights; like these,
SMOKE 00-06 BMW E53 X5 4.4i 3.0i 4.6is 4.8is RED SMOKED EURO TAIL LIGHTS LAMPS | eBay and I also did the LED License plate lights on my 4.8is, they look great but occasionally the Check Lic. Lights message comes on the dash, but I don't mind. I would do the White Angel Eyes because I am planning on doing them too, Foglights would look good also, I would do LED interior lighting because it looks great, but make sure you unplug your battery for most of the Lighting accesories.
I would not do AC Schnitzer stuff because I personally think it looks bad with a non-AC Schnitzer car, but that is just my opinion.
Good luck with whatever you do and post some pictures if you do any of these
Other mods I would do if I were you are running boards, an underride guard (love mine), black kidney grills, maybe powdercoating your wheels matte or gloss black, carbon fiber window pillars and emblems, and carbon fiber wrapping your interior (I am planning on doing most of these) . For performance I am planning on installing a Stage 2 aFe Intake and a Sprint Booster Throttle Remapper, I am getting these too! Wheel spacers and maybe some KW Coilovers would look pretty good too.
You can order most of this stuff from bimmian.com, they have pretty good prices and the carry most of the stuff you're planning on doing.