Been asked thousands of times.
But basically to expand the answers given if you have :-
Halogen headlights it is a straight swap for facelift OEM units @ apporx £700 new or if you are lucky finding some on Ebay.
A few forum members have started to fit these
http://www.z4-forum.com/forum/viewtopic.php?f=2&t=33496&hilit=aftermarket+headlights
If however you have Xenons
Then read the thread Adamski linked to as that is the only viable alternative as new Xenons are approx £1500.
A member was trying to get some clear Hockey sticks made but not sure what is happening there due to the price
http://www.z4-forum.com/forum/viewtopic.php?f=2&t=34613&hilit=hockey+sticks