Brake lights are an OEM item. Just ask pacificbmw or circlebmw.com's internet dept's how much they cost. If you search "LED* brake*" on e46fanatics, you'll find someone who did it. His website has the parts number, directions, everything. I think it runs about $400 w/out the LCM. Your car may or may not need the LCM to control the brake lights. People generally give prices out for pairs (if applicable) cuz that's what most people need.
There's a list of stuff that can be programmed, but my link to it is on my other laptop where the hard drive failed. If you search here you can find it. Otherwise, maybe some kind stranger will repost it. it's a common question.
K&N supposedly gives better performance. Won't be too noticeable though. If you want performance, it's one of the first things added tho.
Not sure how easy the angel eyes are to install. I've never done it myself. I believe the vendors usually have a link to instructions tho. Umnitza seems to suggest professional installation so it might be kinda complicated.
You can get a remote start on your car. The shop will make you sign a waiver b/c there are some issues involved, I think safety related. But it can be done.
No idea about the heated steering wheel. Sorry.
Edit: check this site out for the LED brakelight retrofit.
http://www.alkanol.com/e46/index.html