for your e39 i would highly recommend an M5 rear sway bar to reduce the understeer. they are cheap <$120 and a 20 minute diy install. Eibach also makes a sway bar set (fr/rr) for the car (my setup) too.
the best way to get improved handling is with coilovers. there are several companies making them for the E39. to name some: H&R, FK, KW and others. do some searching on the net to find what suits you and your needs best. or you can upgrade the shocks/struts too. i'm running H&R springs with Bilstein struts. other brands: eibach, koni, many others.