Well, you can't really say that - if your Z4 has Xenons, then you NEED Xenons. If your Z4 has Halogens, you NEED Halogens.
"Upgrading" to xenons requires A LOT of work. Changing the loom, adding washers, changing the LSZ, coding the LSZ to the car etc (Or a similar large job going from Xenon to Halogen - not that I know why anyone would go that route), so you need to clarify what headlights you have. They're NOT plug and play, and you can't just swap between the 2 variants