Going back to the OP, one of the "catches" in my opinion is that things like the Cobb and the JBs tunes tend get you a lot more power by doing things like adjusting the computer to run the turbo at higher levels of boost than what the car normally runs at.
I think, for the most part these products reliably bring out a hell of a lot of hp from the engines, but the catch is a possible reduction in reliability.
I went the BMW performance power kit route for my car and it is certainly overly-priced, but given the fact that it doesn't void my extended warranty, I was okay with it. I think they're all pretty good mods, it just depends on what you're looking for.
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