I've been here, this is what I did:
135i coupe with the super strong auto box (value around £16k for an 'ok' spec car these days)
Down pipes £300
Intakes £80
Stage 3 map £700
Methanol kit £500
Proper brake pads £400
B12 suspension £500
Quaife diff £1000
You then have 460-500 BHP depending on how much boost you run and between 550-600 ftlb of torque. Will do 38-40mpg on a run and see off almost any other £20k car, and drag times from the USA (where there are loads of tuned 135/335i's) show that you need a tuned Nissan GTR, Porsche 911 turbo etc... To keep with them. stupid levels of reliability from the N54 engine and the brakes and chassis to Cope with the power.
Or a £20k E92 M3 and rob a post office for the Gpower supercharger kit