What is your goal? A nice improvement for the 525 is an EAT chip. They're about 180.00 and will improve the low end on your car. I have one in my 94 525, it made a nice difference, well worth the money.
http://www.dsylva-tech.ca/
Not sure about air intakes, I thought BMW did a nice job with what's already there. No comments on exhaust mods either, hopefully one of the other members will chime in.