Hi and welcome to the forum.
I'll stick to the 6 cylinder models because that's what most people want, and a straight 6 is one of the Z4 unique features IMHO!
Working on only the E85/86 generation cars (E89s have the folding metal roof) pre-facelifts came as 2.2i, 2.5i and 3.0i models that all use the same M54 engine just in different sizes. So running costs are much the same. Bigger engines are generally better, and the 3.0i was the only one that had a 6-speed gearbox so is definitely the one to go for if you will be doing much Motorway mileage.
Facelifts were 2.5i which was a detuned 2.5Si plus a 3.0Si. which all use the same N652 engine which is higher-revving and slightly more powerful model for model. They all have a 6 speed box and had SE and Sport trim levels. Sport models came with the desirable M-Sport seats, that are very rare in pre-facelifts, plus 15mm lower (IIRC) M-Sport suspension which is stiffer, M-Sport steering wheel and a black headlining in Coupes.
Maybe as a former MGF owner you like the top down experience, in which case a Roadster might suit you better - they're certainly a few grand cheaper than an equivalent Coupe and you can always get a Hardtop for the winter for no more than £1K on here. But as I've never owned or wanted any sort of convertible it has been Coupes all the way for me and I think they are much better looking anyway, although the Roadsters look way better with the top down.
Given their age now look out for coolant leaks and oil leaks from tired gaskets. Roadsters are prone to drowned roof motors but there are a few on here that can relocate them into the boot for £200 or so if it hasn't been done already, and can often revive seemingly dead ones. Coupes can have corrosion around the edges of the tailgate. If you can get underneath check the brake pipes for corrosion, especially at the rear. My previous one needed new rear brake pipes at 11 years old, my current 19 year old one failed an MOT for them last week.
Wings can corrode but are all bolted on so not structural, other than that I can't think of anything more than the usual stuff to look at.