Yes I do have a Z4, 2.5. For me the ride is harsh enough for the roads where I live, I deliberately chose a car with 16 inch. I usually buy Michelin and wondered if premium brands would improve the ride without going to non run flats and all the fuse that entails.
I have had both Bridgestone and Dunlop run flats and both were crap...swapping them for normal tyres is a night and day transformation for ride and overall feel of the car for sure.
personally I'd avoid going for 18's as some have suggested as I found they are more prone to blowouts, at least with the state of the potholes on the crappy roads here in Yorkshire, I suppose it depends on where you live and the state of the roads. Seriously have a look on ebay for a set of used 17's with nearly new tyres on will probably be cheaper than a full set of tyres for your current 16" alloys it will improve the look of the car, and you can sell the old 16's and make a big chunk of the outlay back
I think I'll go for non run flats on my original 16 inch rimms. Will any E46 space saver fit, 16,17,18 inch. Shouldn't they all have the same rolling circumference? Is there a jack specific to the Z4's little black jacking blocks.
I've done a little research, a 16 inch space saver from a E46 is 3% different (smaller) to the rolling circumference of the original 225/50/16. A 17 inch space saver from a E46 is identical but much harder to find as they were only fitted to more powerful E46 with bigger brakes and discs. It is however slightly narrower by 1/2 inch. It might be possible to fit it in the boot and raise the floor. I also rang my insurance company (RAC) who said it would be OK as long as I didn't change the wheel size.