"Also, halogen headlight units with led bulbs aren't legal."
Roblightbody....For the majority of cars you're correct but that is not the case for the z4 as it has projector lenses, designed to use halogen and xenon. If you care to look at the EU technical info moulded on the side of the headlights it is marked as being suitable for halogen and xenon. The z4 standard halogen also has self leveling, which is a xenon requirement for the mot but is not a strict rule if you read the gov's advice to mot testers. Lastly, many think that xenon's require headlight washers, this is only a requirement for cars produced from 2009. So converting a z4 halogen to xenon is perfectly legal.
If you have halogens I would advise changing them to xenon, using the cheapest kit you can find as they are all pretty much the same, more money doesn't get any improvement in quality or performance and stick to 4300k 35w. The improvement is quite dramatic!