Yeah, it's tough to get gains from the M42. It's a good compromise for efficiency and power considering it's size right from the factory. That's why a good chip does so much for the car. Even great tweaks can only increase mileage by 2-3%. A difference that small is hard to track with so many other variables as well.
My three best mods for mileage were a 3.73 diff, cruise control, and avoiding high alcohol gas. As far as driving technique...2nd gear easy starts, cruise control set to 72mph max and drafting semis (@200ft or so) worked well. Everything else I've done has been only minimally effective. I had higher hopes for the lubricants I selected, but they're really only better from a maintenance standpoint.
Aerodynamically, the car could definitely use some help. I'm thinking that a frontal under-body pan and side skirts would help, as would blocking off some of the frontal area. I don't want to do anything too dramatic, so I'd suspect gains would be modest.
Having said that, I'll be messing with fuel injectors and a WBO2 soon.
The e30 looks difficult to tune aerodynamically; it's boxy and already has a small frontal area. I've noted a strong vortex pattern on the center of the trunk on my sedan, I'll bet a roof spoiler with strakes would help out a bit. You'd need a wind tunnel to balance drag against lift effectively.
Kamming the tail with a reverse spoiler or a lower diffuser might help too but it'd look odd. IMHO the e36 stylists did a great job with that - the rear window is tapered very nicely, even on the sedan, and the rear panel has a good dramatic cut-off. One more good reason to buy an e36 M3, eh?