I'll chime in on a couple... HID's and cheap shouldn't be in the same sentence. Its more expensive. See if you can get an all in one package deal through ebay on the lights including bulbs.
Regarding the flashlight. Its probably the battery. Open it up and take it to radio shack or somewhere and see if you can replace it, or look for a new one on, again ebay.
Cheapest bang for the buck? I have a V8, so its a little harder for my car, but I would assume chip is the most bang for the buck. Air filter setup, exhaust, maybe underdrive pulley's. Lop off your Cat
( I dont endorse that) I have also heard of changing out the mass air for a 540i unit. The Search button on yahoo with the words "cheap bmw upgrades" should net you a wealth of information. Then there is always NOS. Better be careful with that and your engine though.
Bavauto, BMP, Turner, in your case, Ebay probably. Nothing is really "cheap" on BMW's.