is a cold air intake my best option?
if so..what is the best brand?

chip

Yes, l think a chip is the best cost/result option. A cold air intake will sound amazing though and could give you just as much thrill while driving.

The first thing l do to my vehicles is the cold air intake then a programmer. You can get air thing that goes between ur throttle body & intake, l cant remember the name right now, but there is only one main brand, its air something. l think power aid, on some of my vehicles it works good for the money about $100.00 at the most. The other two items l do on mine is exhaust & sometime pulleys if it does not cut down on the alternator, because l usually put a high power stereo & the pulleys will make ur lights go dim without the power from the alternator.

Do not use the word cheap with anything BMW. You will regret it later when you know there is nothing cheap about a BMW.

Check out the future maintenance issues you will run into later, but nice car enjoy!

http://edgemotorworks.com/index.php?option=com_content&task=view&id=25&Itemid=55

It costs money to play. Most people who want more power without going with forced induction will go with chip, intake, and exhaust--but these are not all that cheap.