I think the retail is around £540 in the UK but with the credit crunch you can get very good discounts over here. I paid £400 for mine and was lucky to have a paypal 20% off voucher so I got mine for £340
BMW don't publish any official bhp improvement but I have read somewhere that it's around 8-10 bhp unofficial. It feels subjectively faster because it is louder. Now that I've had it on my car for around 9 months now, I would say it's louder than it was when I first got it. I would recommend it
I did think about a full cat back system from Supersprint but pricing it all up it was more than £1500 if I recall and from the gains that might have been negligable over the BMW performance one. I would say that you may at a guess have got an extra 5 bhp which for the outlay is simply not worth it in my opinion.
I have also heard many stories of people who put third party performance exhausts on and love the loud sound when they get it but go on to loath the boominess of the droning when cruising at lower speeds.
I think BMW have made the perfect compromise between sound/performance and refinement.