A 330i is at what?.... 225hp? and you want more eh?
Shark Injector (not a chip but a program downloaded into your car's computer)
cost ~ $400 +/-
gains: minute boast in HP and gas mileage, so they claim
Used in conjunction with an intake gains could be see in the +8hp and +10lbft range. Not alot, mind you but I assume noticable.... one site where you could find a shark injector and the matching (made for?) intake: M3motorwerks
. Of course there are other sites that may sell them cheaper.
Then there are the pullies ~$260. They help to make it easier for the engine to turn by underdriving the orignial pullies. Don't know about actual gains.
Exhausts.... I believe AA exhuasts yeiled one of the higher gains from most manufactures. There's also UCC, highly expensive, and more of sound than performance. Test AA Tunning
There was a link that I can't find right now than had a better test that the ones above and also had sound clips. It's posted somewhere on this forum.
If you really want to get into the upgrading, you could get headers and cams. If you got the money, go forced induction, but by that point, you would've spent just under $10k (FI kit, cams, headers, exhuast ect.) and shortened the engine's life quite a bit. Now, I'm not a mechanic, so don't assume that what I write is 100% accurate. There are others in here that know alot more about that topic than I do.
Check out that AA site for prices on FI kits, just to get an idea.
If you got a manual, you could go with a short shift kit and a rear differental (which would lower your MPG). So now your really up there in the $$$$$ when all added together.
I hope this info is good enough for a starting point,
EDIT, another good site would be Turner Motorsports