Anything can be retro fitted, if you have enough money and time. If you are serious about xenons I would find a car that already has them.
Go look at Rimfurbish for prices on alloy refurbishment, they offer a good deal.
Tbh on my old 2002 330ci, the only optional extra I felt was a deal breaker was the arm rest. Maybe the sunroof. I could live without the latter thou, but no arm rest would be horrible.
I never used my heated seats, even in winter and I felt the standard non-hk audio system was fine. Apparently its easier to upgrade the non HK system if thats something you are interested in.
Oh before I forget, PDC is a great option - makes parking miles easier. Took me ages to get used to mynext car that didn't have it.