Don't get the SMG that's now available for 2004 in the 325 and 330 mixed up with the SMG II available on the M3 - they're different. The SMG II shifts faster than the version on the standard 3 series. Regarding the manual transmission for 2004, the 325 comes with a 5 speed, you have to get the 330 to get the 6 speed manual.
Choosing a transmission type is totally subjective - it's what fits you. I personally like a manual (with a clutch) - I wouldn't have it any other way. With a manual you'll get more performance, more driving satisfaction, and save $
1 word of advice - get the Sport Package! If you can only get one package, get it over the premium package. Sports package offers the 12 way power sport seats (premium package seats are 8 way) which offer more side bolstering and a little extender that pops out for those with longer legs, multi-function sport steering wheel, 17 inch wheels instead of 16, and a sport suspension (different springs, etc.). The car sits marginally lower and looks 10x better with the larger wheels. If you plan on modifying it, perhaps the sport package wouldn't be worth it for you. However, many people that plan on new wheels and suspension opt for the Sport Package anyway, just for the seats.
The premium package offers some nice features (leather and moonroof), but I personally don't like the wood grain interior trim that comes with it, and have no use for the auto dimming rear-view mirror.
As everybody else said, get the xenon headlights. You'll love the look, the way it lights up the road, and your car will be much easier to sell when that day comes if it has xenons (and the sport package).