Congratulations on your new car! I just picked up my 335i a few weeks ago and have been thinking about a few mods as well, but don't want to spend too much.
Here are my suggestions:
1. Wheels: (about $1000)
VMR V710 in black staggered 19x9 front and 19x10 rear
There are some other wheels on eBay that look the same, but I am not sure of the quality. They are priced around $595 for a staggered set of four.
: ( guessing $650-$1000 check tire rack
Budget: Hankook V12: very nice tire, good grip, somewhat harsh ride. Will most likely put these on the 335i this summer.
Pilot Super Sport: superb grip, quiet, firm ride. Have them on The M6.
3. Performance: JB4 and DCI. I will be ordering this soon. Seems to be the best bang for the buck performance wise. ($600)
4. Cosmetic: I don't like much chrome on my BMWs, but if you are running black wheels it has to go.
-black and white roundels ($60)
-paint grill surround black and leave vertical slats chrome - see my signature and paint 335i badge black ($5)
-vinyl wrap chrome window trim and chrome on front bumper ($40)
-tint side markers and orange in headlamps ($20)
Of course if you go with 18's you will use existing tires
a d save on wheels. I will let other members comment on exhausts as I do not plan on adding one and have not researched one. Not sure how a muffler delete sounds on this car, but you will be limited on both wheels and exhaust with a $2000 budget.