Finally found ways to feel the difference (with DHP) between Comfort and Sport modes w.r.t. chassis and steering (...the drivetrain change is more obvious):
Chassis: Early in the morning, when almost nobody else is on the highway with me in the right lane, I move enough to the left so that the reflectors sticking up at the lane markers hit my tires. I can feel and hear a difference when switching modes.
Steering: When going around a cul-de-sac and turning the wheel slightly back and forth (or even doing this while standing still or barely moving), I can feel the steering tighten up in Sport mode.
So, while I can feel the difference, I have to admit that both of these effects are subtle.
2013 x35i (Space Gray, MSport, CW/CWII, DHP, Premium, Premium Sound, Technology, BMW-Apps)
Retired:'09 C300 4Matic, '09 GTI, '06 750i, '05 C55, '04 R32, '03 M5, '02 GTI, 01 M5, '00 M-Coupe, '00 540i/6, '99 M3 Coupe, '98 M3 Coupe, '96 328i, ..., '86 4000CS Quattro, ... too many to list