Probably going to order this unless I can find a better one or cheaper
http://www.turnermotorsport.com/p-1375-afe-stage-1-pro-5-r-cold-air-intake-kit-for-mz4-m-roadster-coupe-2006.aspx
aFe Stage 1 Pro 5 R Cold Air Intake Kit for the 2006+ BMW Z4 M Roadster, Z4 M Coupe
This intake kit replaces your restrictive factory air box. It features a 16-gauge powder-coated steel heatshield that blocks hot air from entering the filter. Each intake kit has a custom application-specific aFe cone filter that replaces the stock panel filter. The larger aFe Pro 5 R oiled filter, combined with the heat shield, improves airflow by 90%! By removing your stock intake air box, you are removing the most restrictive portion of your intake system, increasing both horsepower and torque, improving acceleration and throttle response, and producing a more-aggressive engine note. Step-by-step instructions for a quick and easy install are included.
aFe reports a gain of 11hp and 10ft/lbs of torque on the Z4 M.