the type of rims, in my opinion really depend on what type of look you want for your car.
although, my favorite set of rims on a e39 are definitely the BBS LM. They will run up quite a bill though, but i firmly believe its worth it. Try to avoid replica rims, or replica brands. always buy the real deal. It will pay off.
Set of BBS LMs (polished) on an E39 M5