One way is the BlitzSafe adapter. It plugs into the connections for the trunk mounted CD changer (not sure if the Z4 supported this or not). And provides and Aux input. Youhave to run a cable from the trunk unit to up front for connecting.
The later radios do have an Aux input, but you need the special cable also. I did this with my 2002 E46 M3. Replaced the radio for one from a 03 or 04 with the Aux input.
There is also the DICE unit, that has an Aux input and Bluetooth. It also allows connection of a Sirius Sat Rx.
'95 Alpine M3 LTW
'00 Dakar M Roadster
'02 Topaz M3
Red/White SRF #4 (Chassis 561)