Welcome aboard!
I've not seen the Taxi movies, but there is mention of them on Wikipedia's Peugeot 406 page, together with a photo of a modded 406.
Personally, I prefer the look of the car as it rolled out of the factory; alloy wheels, new exhaust, and possibly a small spoiler are about as far as I'd go towards changing the external appearance of the car - and I'd happily mod a bunch of cool stuff into the interior (i.e. making all four windows electric instead of just the front two, adding a trip computer, electric seats, new sound system etc), or things that affect the performance of the car (turbo, new springs, etc).
I'm not one for all the massive spoilers, all-over body kits, skirts, wings, etc. that people seem keen on putting on anything that has wheels. I guess I must be getting old early (will be 29 this year)
As for what 406 to get, I'd say go for the Coupe - it's beautiful and powerful - but if you're going to be modding it Taxi style (to do this to a Coupe is virtually a crime in this neck of the woods, I think!), then I'd say go for the any of the more common saloon models. They're cheaper and easier to come by.
Got the rest on DVD downstairs. 
