Pipercross makes a nice drop in filter, available through ECS. You'll get a little bit more throaty sound out of your engine without having to worry about water and stuff getting on a cold air filter. You can use the stock air box, just drop it in.

Dinan
ECS
Bavauto
ActiveAutoWerks

There are tons of places out there, start with a Google search.

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Current Bimmer
2004 X5 4.4i Sterling Grey Sport/Premium

Past Bimmers
1991 318I Alpine White
1995 740I Alpine White
1991 525I Schwartz
1998 323IS Scwartz
2004 330CI Cabrio Titanium Silver Metallic
1995 540I Schwartz
2000 Z4 3.0 Titanium Silver
2000 330ci Coupe Titanium Silver