That depends on how deep you want to go based on your budget and driving style. If you do a search here* on "shocks," you will get lots of threads ranging from simple Bilstein replacements to full Koni coil-overs.
For the back shocks, all you need are shocks and shock mounts. The job is quite simple really. Or you can go all-out and replace the sway bar bushings, the Rear Trailing Arm Bushings (RTABs), and the subframe bushings.
The subframe bushings should be replaced with polyurethane ones to stiffen the attachment to help avoid the differential mount failure that many Z3s experience. Subframe bushings are not simple, so read-up on it, decide what approach you want to take (subframe tool, shop press, sawzall, cutting torch, etc.).
You can consider polyurethane for the other bushings, since it is harder than rubber, but all of those things move and polyurethane squeaks loudly. Rubber is fine for daily driving and much quieter.
*At the top of the forum page, on the right, is a button called "search this forum."