AAA magazine did an article on leasing vs. purchasing. and, yah- like dye says- it pretty much comes down to your lifestyle. if u plan to own it for 5+ years, buying is the way they say to go. u pay the car off in 3-5 years, and get to enjoy the benefits of no longer having a car payment plus get lower insurance, lower title & fees etc. leasing is the better route if u don't mind always having a car payment but always having a new car to drive. u put minimal $ down and get a new car every 2-3 years. =)
as far as the z4 goes, a year ago i was looking into a weekend fun car, since my 323i's been doing well as a daily driver. and, i narrowed down my choices to the bmw z4 and and mazda rx-8. i priced everything out on paper and then decided to go test drive each of them...
anyways, long story short- i fell so head over heals in love w/ the rx-8 that after a few test drives that i couldn't get myself to go to the bmw dealer... <LOL> and, as i was wrestling with whether to still go test drive the z4, i found out from work that i was able to get employee pricing on the rx-8, 'cuz mazda is owned by ford, which my company has a discount buying program with...
i think the z4 is an awesome car, and i still sometimes wonder if i'd still bought the 8 if i had test driven the z4. but, i saved over $10K going w/ the fully-loaded 8. and, i always feel that fun is in the mind and not necessarily how much $ u spend to get it. and, i really enjoy having a car that is super fun to drive, not too pricey, not a dime-a-dozen on the roads here in los angeles, and that always never fails to seriously turn some heads when i take her out for a spin. =)
good luck on your search!