I had an E39 with sport package. I believe all come with the shadow line trim around the windows (black trim, not chrome). They ride slightly lower as they do have sport suspension versus the regular non sport package. If I recall (I sold the car about a year ago), there is an M logo on the steering wheel and on the rocker panels too.
2013 535xi, Carbon Black, beige interior, M Sport package, HUD, DDC & ARS
2010 Z4 35i, Crimson Red, beige interior, 6sp manual, Adapative Suspension
2000 528i, Cosmo Black, beige interior, Sport package (retired)