On the exterior, i have fitted LED side lights, LED number plate bulbs and LED bulbs into the factory puddle lights under the wing mirrors.
I have also cleared my headlights and fitted LED rear lights.
On the inside, the previous owner had already installed blue LED's everywhere. I quite like the blueish glow so I have left them all except for the front door lights which I have changed for white LED so that when I open the car, people don't see blue lights shining down and know that I am a bit of a chav at heart

Anyway, having done this, I can advise on the following:
Sidelights & puddle lights - I got mine for £5.99 a pair from ebay for some moderate brightness ones. 501 style bulbs, with built in resistors to fool the error detection system. If the puddle lights do not have resistors you will not get a dash warning but they may not light up at all. I realised this the hard way and had to return the first set of non-resistor bulbs I had. Side lights are not head lights - you do not need super bright ones! (but you could get much brighter if you wish)

Above is the sidelights only on in the dark. They look bright in the pic but actually aren't that bright at all. I think my camera phone is not good at capturing lights in the dark! In all honesty, when the xenon is on next to it, you would barely notice the sidelights (which is what I was after). Below are the same bulbs on in the day time with the xenons. You can see they aren't that bright at all, it just means you don't get the orange effect seen in the pic after the next.

I just wanted to eliminate the orange seen here (poor pic I know but its all I have)

Puddle lights - poor pic but if you have puddle lights, you will know what you are looking at:

Number plate lights - Again £5 or 6.99 from ebay with resistors to fool the system. Festoon style - I think I went with 38mm. Coincidentally, I had some non-resistor ones that gave an error message so those were what I used to replace the interior door lights that I mentioned earlier.

Rear LED's - I got these from Mstyle in Essex for £170. No issues for pre-facelift but facelifts need resistors or they will flicker I believe. Sanj mentioned this in a previous posting.

Front headlight clearing - FREE! Remove the headlights from the car by undoing the 2 bolts on the top of each light and the bolts just at the back of each light, unplug all connectors etc and take inside. I used a hairdryer and by heating the glue which holds the lens to the housing up to the point where it releases, the front lens comes away. I removed the lenses in front of the main beam and the xenon, and the entire indicator lens, leaving just the clear plastic lens exposing all of the raw light units behind. Some people leave the indicators, others only remove the indicator. Its up to you what you think looks best. How to for this is here: http://www.xoutpost.com/articles/x5/lig ... 02-x5.html

I painted my front indicator bulbs silver and also my side indicator bulbs. A thin coat of silver paint allows the bulb to flash orange just as bright as normal but look silver. I fitted chromed indicator bulbs to the new tail lights as I got a set from Halfords for 50p. Personally, I find the chromed bulbs are not as bright as the standard bulbs but a DIY painted one is.

And thats my lighting taken care of, I always think you can date a BMW by the lights more than anything, and the X5 ages well in every respect apart from those pre-facelift headlights with the waffle-look lenses. Using whiter lights all round with cleared headlights does help to make a 10 year old vehicle look much fresher.
As I didn't do the interior lights (previous owner did) I can't say which bulbs are required but here are some pics of mine anyway

You can see they are all blue aside from the lights in the front doors:


lights in the rear passenger area:
