There are quite a few options, but I guess the biggest question to ask first off is what are you upgrading them for, looks or performance?
If performance, there are some cost-effective steps to take first, including decent fluid, braided lines and some upgraded pads. This will honestly provide you with plenty enough braking performance up to the point of sticking semi-slicks on the car on trackdays, and will be a fraction of the cost in terms of consumables.
If you are still wanting 'big brakes', then as above, I've done the Brembo 6-pot swap. You need;
1. Braided lines
2. Caliper Adapters (can be purchased from a few places, I think Meds above got them from the link I shared on his thread about his bbk upgrade so you can dig that out easily enough)
3. 6pot calipers off a 135i
4. Z4M / M3 CSL discs
5. Pads*
Be aware this isn't the cheapest upgrade, and saddles you with a fair bit of consumable cost (think upwards of £500 for a set of front discs, and a
couple of hundred minimum for a decent set of pads)
Other options instead of the above 6-pots include (cheapest at the top, most expensive at the bottom):
Porsche Brembo 4-pots (you'll need to get brackets and lines again)
Freakyparts kit - including Megane 265 calipers and I think E46 M3 discs (slightly smaller than CSL)
D2 Racing 6-pots
AP Racing 6-pots
Alcon 6-pots
The last 3 basically use the same pad pattern as the 135i Performance 6-pots, but two-piece discs with an ally bobbin.
Dunno if any of that helps at all?