Several people have installed aftermarket projector healight housings and aftermarket xenon kits into Z3 cars. The early ones took a lot of work. Sounds like lately the work has been reduced the problems have been ironed out.
Over in the world of mass produced cars however, there are more options. Yesterday I put OEM HID headlights into my VW. Takes about 15 minutes to install and align them. Here is the procedure:
1. Pay $1300 at a place like TDIParts.com for a set of OEM Hella HID (non-DOT Euro) glass projector headlights.
2. Open box. The lights come with all bulbs installed. Leveling motors are included and installed. City lights are also included. You lose the fog light in the stock location because Hella doubled up on the turn signal bulbs. The ballasts are integrated into the headlight housing.
3. Remove bumper cover, 8 screws and 7 Torx bolts.
4. Remove stock headlights.
5. Install OEM HIDs with adapter wire harnesses.


6. Align
Later today if FedEx Home decides to come by and cooperate I will put Xpel on them. Later than that I will add the parts needed to activate the auto leveling feature. These are an expensive upgrade, but it was rediculously easy.