After going from a 3 series with Business Nav, to a 125i with no nav, thinking we wouldn't miss it, I'm so glad to have Pro Nav in our M-Lite. Definitely Black Panel, if you can find it and some kind of Navigation then.
Personally I'd also want auto dim/electric folding mirrors. Sun Pack is nice, but you can always get the windows tinted. Climate control over standard Air Con is also nice - you get not just dual zone control, but also air vents for the rear and the warm/cold wheel on the front dash, which I love.
Our M-Lite has got through-loading and although I didn't think I'd be that bothered about it, if you've got, or are going to have kids, I think it's a must. Having that center armrest with the cupholders in is a god-send!!
You'll want Xenons too - it's like driving in daylight!!
From reading articles, standard audio is a no-no - at least advanced is a must, if not H/K. Also USB with Extended Bluetooth, so you don't have to mess around with 'Y' cables for iPods/iPhones.
If you're looking at an M-Sport model, try and get one with the M-Sport Plus (I think it's called that) - You'll get H/K, big brakes, Xenons and Sun Pack.
I think that's about it that I'd look for if/when buying again. Oh, heated seats, especially if getting leather!! Electric seats with memory are also really nice, but I wouldn't say a must!!