I think it was last months 4 Wheeler Mag that did a Cool Air Intake shoot out on a 4.o L Jeep (TJ or YJ can't recall).
They were seeing gains of around 10-15 hp with some intakes.
These were dyno tested results.
But a 5 - 10% gain in HP isn't bad for a couple hundred dollars in my opinion.
Some of the intakes hurt the overall HP, but most increased HP and Reduced TQ slightly, so be careful what you buy.
If memory serves correct K&N FIPK was middle of the pack as far as performace went.