I will get an intake and software for my car. The exhaust is already plenty less restrictive than the regular E46 exhaust -- in fact, I've read several places that the extra 10 hp when compared to teh non-ZHP are mostly from the exhaust.
If you're looking to heavily mod, I would look for a non-ZHP. Why pay extra for the factory upgraded ssk, exhaust, suspension, cams, etc., if you're planning on changing it all out? Personally, I am more than happy right with how my car was delivered to me. I must note that the steering wheel has been changed to leather (from Alcantara) and teh CDV has been removed. Aside from CAI and software, I will probably only do minor cosmetic stuff to it, and wait a few years to do FI if I still feel like it.