The debate over intakes/cold air intakes is a pretty heated one (ha) over on VWVortex.
I think for the most part, however, that people agree they don't make a huge difference. Personally, I just chopped up the bottom of my stock airbox and got the induction noise and diverter valve noise I wanted with no real change in anything else.
Wak TT did a comparative test of several different intakes, I run something like the "Wak Box":
Wak's Induction Test
IMO, for several hundred dollars, there's better mods to do than an intake. That money could be put towards a chip, intercooler or water/methanol injection, all of which create much more significant gains.