I actually like that sound too. I think it is the tranny, or the invisible supercharger the dealer thew in with the purchase!

 

I bought an 03 touring with 36000 miles on the odometer. It made a lot of whining noises. When I buy a used car one of the first things that I do is change the fluids. Who knows if they were ever changed etc. With the new fluid the noises lessened a lot. Now it is just the sweet sounds of the exhaust and the motor sucking in the air through the K&N!!!

 

Your Z's motor is getting ready to transform into Supercharged