Congratulations and welcome aboard! I vividly remember the first days driving my Z3 coupe, and you'll be happy to know that after two and a half years, it still brings a smile to my face almost everyday. Easily the best purchase I've ever made.
From personal experience, the water pumps of BMWs can go with disasterous effects. Mine went around 50K miles, and I highly suggest you have it done as part of preventative maintenance (unless you know from records that its already been done). I would also suggest having the fluids changed- rear diff, brake lines, radiator, etc. It always feels good to start with a clean slate in those areas. Additionally, I'm a huge advocate of installing a very good strut tower brace. Its very easy to do, and while it does have an immediate effect on the tautness of your handling, the more significant benefit is well down the road. The strut tower brace prevents some wear on your suspension and keeps it feeling tight for a very long time. Finally, I'm not sure about the bulb replacement procedure in the dash, but any competent BMW mechanic should be able to help you out in that department.
Speaking of mechanics, if this is your first BMW, stay away from the Stealerships! They charge an arm and a leg, aren't very good in my experience, and there are usually an abundance of very good independent BMW mechanics around.
Have fun!
