A good place to start is the BMW dealers themselves. Get yourself registered on M3 Cutters and put a price request up on the dealer sub forums (Cotswold and Rybrook) who will give you a discount on the list price and free delivery. It's also a good resource generally for info on our engines as they are the same as the E46 M3. That'll give you a good starting point price wise then you can go from there. OEM or ATE discs are both the best option, either is fine unless you desperately want a 'genuine' receipt to put in your folder. There may or may not be much difference in price depending on the part your after between genuine and OEM manufactures.
Then you can start googling for CSL front discs and see what other independent shops are offering. A quick look suggests around £350 for a pair of front ATE discs. Rear discs are the same as the E46 M3 so just search for those for prices. OEM or ATE again.
As far as pads go will depend on your usage. Normal driving your standard pads will be fine though it depends how much your pushing on. For faster road / light track there are better options. I used Performance Friction Z rated to good effect personally.
If you can, try and get used to and familiarise yourself with RealOEM. Much quicker and easier way of finding BMW part numbers and will save you having to wait for reply's on forums.
Need discs and pads all round for my Z4M roadster. Best ones to get and where to purchase from please. 
