It depends on how much you want to spend.
When I have some money I am going to buy these:
http://www.ebay.co.uk/itm/00-03-BMW-X5-UHP-WHITE-LED-ANGEL-EYES-PROJECTOR-HEADLIGHTS-CLEAR-AMBER-SIGNALS-/120934809295?pt=Motors_Car_Truck_Parts_Accessories&fits=Model%3AX5&hash=item1c2846becf#ht_9036wt_1163
Not sure if they are to everyone's taste but I like the idea of the UHP led as daytime running lights.
As for the back I would buy these:
http://www.ebay.co.uk/itm/LED-L-E-D-rear-tail-lights-lamps-red-clear-BMW-X5-E53-/251114723705?pt=UK_CarsParts_Vehicles_CarParts_SM&hash=item3a779a9979#ht_1435wt_1163
I've noticed you can get LED rear lights in the states with the reversing/reflector the whole length of the light:
http://www.ebay.com/itm/Philips-LumiLeds-BMW-00-06-X5-E53-RED-CLEAR-LED-REAR-TAIL-BRAKE-LAMPS-ASSEMBLY-/130752163586?pt=Motors_Car_Truck_Parts_Accessories&hash=item1e716faf02&vxp=mtr#ht_4833wt_1397
I've also noticed only the tail/stop lights are LED you would need to get LED indicator bulbs if you wanted it to match too.
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those front lights are very nice, I must say, but to pay that type of money?? only need a stone to kick up and catch one of them and your money's down the pan. Obviously there are others out there at a fraction of the price, after all at the end of the day it's your money your spending (after you've asked the misses
)) and down to personal choice. go for it. 