Your bes t bet would be an induction kit and exhaust, these 2 will probbaly set you about around £300, but are the only options that will help with performance, without affecting insurance.....a different exhaust won't affect the rest of the cars warranty, cos BMW won't warranty, but whoever you bought it from will, so thats ok.
But the warranty thing with the induction is is still in the air, in my opinion, I reckon you should get one as soon as they are available, and when the time comes for servicing at you local Beemer garage, take the kit out and put the old one back in, that way your warranty shouldn't be affected.
Currently these 2 things are probaly the most cost efficient plans which don't effect insurance, and shouldn't affect the warranty of the entire car.
Check out
www.autofashion.co.uk they have a selection of things they have available and are currently working on for the NEW MINI.
Oh yeah I forgot u can always put in High Octane petrol (Super Unleaded) which at 78.9p per litre at my local Sainsbury's petrol station. What this stuff does is make the car perform better it adds a few BHP to it. But you do have fill you tank up and after half of its gone your ECU will have configured itself for the fuel, thuis u get better performance out of the car.....the cars throttle response increase, and the car runs smooter too, apparently cleans the engine too, so all in all its good stuff