Take a look at this maintenance and checklist to get an idea of what needs/should be done -
edge motorworks - 5 Series 1995-2003 (E39 & M5)
Edit:
Always Always Always have the car inspected. Lots of different shops to choose from - Nixon Automotive, CG Motorsports, Autowest BMW, Brian Jessel Autohaus, The Speed Syndicate, Drivehard Performance, Rise Auto Salon, Blitzkrieg Motorwerkes etc. The list goes on. The PPI will save you money in the long run and prevent a lot of nightmares.