again, welcome to nico, good to have another J30 suburbanite on here. (i think we've almost got enough for our own club now)
as far as performance goes, most has already been said above.
i was planning the stillen headers myself, but now i might as well see how it turns out for you. those headers are pretty much the largest gain you will experience without the addition of forced induction.
you can sort of box your K&N in using metal, CF, plastic whatever, and then make a seal with the hood when closed with some rubber trunk trim or similar. an elbow can be stuck through the stock opening into that chamber, to better direct cold air from the wheelwell area. should make the intake much more agreeable.
gotta agree with you, the growl this engine gets under load with a good intake is amazing.
WOT never fails to make me grin.
nitrous is completely possible, although i dont know of anyone who has done it.
any number of methods of supercharging or turbocharging are possible, although extensive modification and/ or AC removal will be necessary.
if you are willing to split with about 600 US,
http://www.ess-racing.com/ ...this place can get you manual tiptronic-style shifting with your current transmission. (not too much more than the HKS box, if its still going for about 500 euro)
as far as the transmission conversion you mentioned...would be tough to pull off since the suspension of the J30 lies so close to the firewall. (no place to mount clutch pedal, cylinder, reservior, etc.
pieces would have to be taken from z32 or similar, new driveshaft required, ecu jumped to prevent errors..etc. also parking footbrake would need to become handbrake.
you are right, the J30 is heavy, and at this point it seems noticeable gains will only be seen through forced induction...