Using higher octane fuel than your engine was designed for is a waste of money. However, you should bare in mind that higher octane fuel is readily available in Europe, where your BMW was designed. Therefore, 94 or 96 might provide minimal improvement. In the mighty E46 M3 a maximum of 2 degrees advance is possible. Not a huge performance enhancement for $5.00+ per gallon.
A panel filter (I prefer SE over K&N) may also improve performance and MPG, but don't look for huge gains there either, maybe 5 bhp max at the flywheel and 1 or 2 more mpg (on average). The BMW stock airbox is pretty good.
Of the many exhaust systems on the market, most only provide a sound change and weight reduction over stock. Most don't provide HP gain numbers, you might see between 5-10 bhp.
Aftermarket software can give you reasonable performance gains as well. Stock engine management is concerned with drivability (under all conditions), engine life, mpg and most importantly emissions regulations. Freed from those constraints, and in concert with a panel filter, free flowing exhaust system and higher octane fuel, might provide 15-20 more bhp at the flywheel.
Keeping your car tuned, using synthetic lubricants and "top tier" fuel also help.
I also like Dinan. They publish HP gain numbers and offer a warrantee which is rare. However, they also charge a premium, but you can negotiate. My feeling is, you get what you pay for.
Finally, BMW is about to launch their own line of performance products. It's rumored to contain light weight wheels, exhaust systems, suspension upgrades and, of course, cosmetic pieces.
Do your homework, it's definitely buyer beware.