Big time +1 to the E-code lamps and relay harness. You can save a few bucks if you build the harness yourself. See Daniel Stern's website for parts, etc. Be sure to use good connectors and the right crimper pliers (and being a good solderer is a big plus too).
I got Hella lenses, but I believe the Cibies are better (also much more expensive). IIRC, the Hellas throw a lot of light up and away when using the brights, while the Cibies do a better job aiming the light down the road. The Hellas have a slightly sharper low-beam cutoff, though.
The other thing I did was use 90/100 W lamps in place of the stock (legal) wattage. The E-codes (especially the Hellas) have such a sharp beam cut off and the car is so low that even though they are much brighter, oncoming drivers don't get blinded. You do have to be on it when driving with the brights on, or you will blind people!
Always aim your lights according to specs!