Regarding the handling there's not a lot in it to be honest, I found the Cayman soaks up poor surfaces far better than the Z on fast B roads whereas the Z can be a bit twitchy. That said I felt I could push the Z4 harder (the salesman can confirm this!)
The Cayman is a more sensible drive IMO, whereas the Z brings out the hooligan in you. It's a shame the Porsche engineers had to keep the power down so it didn't compete directly with the 911.
I've not driven the Cayman on the motorway but the way it drives on A/B roads it would probably be easier to live with that the Z especially in rush hour traffic.
I'll be over at xmas to borrow it Gids
Heh, you bringing a bike?
