Here's a post I wrote for somebody with a similar question:
I don't know of a comprehensive guide to modding the 135i, but I recently went through the process of learning all of this stuff (just got mine a couple of months ago), so I'd be happy to share the knowledge that I've picked up. What sorts of mods are you mainly interested in? Straight-line speed? Handling? Cosmetics? Interior? Audio/entertainment?
In terms of straight-line speed, the best thing you can do is get an aftermarket tune. The most popular ones are JB4, Procede, and Cobb. They'll all give you an extra 60-80 hp and a LOT of extra pep. They also help you extract more power from standard mods like exhaust/downpipes (20-30 hp), intercooler (10-20 hp), etc.
Another very effective performance mod is improved tires. Being in Kuwait, you're blessed with the ability to run summer tires year-round. Replace your run-flats with some max-performance summer tires and your car will become a lot faster. If your budget allows it, you can get even better performance if you get lighter/wider wheels and wider tires.
For handling, there is a lot of debate regarding what to do first. The roads in Kuwait are really nice, so ride harshness probably isn't as much of an issue for you as it is for some others... so I'd suggest starting with coilovers or aftermarket shocks/springs. There are a lot of options on the market, but the specifics depend on what exactly you want. The next step would be to consider front/rear sway bars, camber plates, and M3 suspension bits (starting with lower control arms and rear subframe bushings).
There are also two other general performance mods. One is a mechanical limited-slip differential, which can be pricey, but it's arguably the biggest difference between your car and an M-car (aside from wider body/tires and stiffer suspension, which are cheaper/easier mods). The other is braking, which can be done in several stages (performance pads, lightweight/drilled/slotted rotors, stainless brake lines, etc.). If you're interested, I'll tell you more about it.
For exterior cosmetics, there are a lot of body kits available, depending on how much you want to spend. Personally, I think that a cheap eBay front lip with aftermarket wheels and a lowered suspension are enough to make the car look way more aggressive. Some people prefer to make more thorough changes. I'm planning to do a 1M front-end conversion eventually, but not yet.
For interior, there are lots of bits here and there. Shift knobs, accents, trim, etc.
For audio, there is a lot of discussion in the e90post forums about the different setups, but there are a couple of posts summarizing the "best bang for your buck" setups. I won't go into too much detail here unless you say that it's a particular interest of yours.
So that's a brief overview. Tell me which areas interest you and I'll go into more detail.
2008 135i Montego Blue sport pkg, premium pkg, Logic 7 sound, iDrive/Nav
Mods completed: JB4+ & FBO || LSD || BMW-P suspension + F/R sway bars || 18" Breyton GTS-R || M3 front bushings || Vogtland camber plates || BMW-P rotors + Stoptech pads |||| Acquired, not installed: BMS WW Meth kit || Logic HVI intake || Mishimoto OCC |||| Shopping for: Summer tires