I personally don't like running BMC or K&N filters as the oil can get sucked onto the Mass Airflow and cause it to throw an error code or read incorrectly. I run paper filters in the stock airbox with a thin foam in front of it.

 

Oil-less filters work well. I run them in my E500. Afe power, AEM dry-flow, K&N dry are all good units.

 

The last mod I did was bmc filters...I had 9k on the car so decided to go with bmc....no my car is not faster ..then again you wouldn't notice it unless it gave you 50hp....but I will say that it does give the motor and turbos a bit more whoosh sound...maybe it's my ears playing tricks on me but with windows down it lets a little more turbo sound out.....but like the rest have posted save your money unless filter needs to be changed.....now if you were talking intercoolers and 3inch turbo plumbing then yea mod and spend away......

 

My car came with a BMC filter. I replaced it with an OEM filter when it got dirty (i didnt want to risk incorrectly cleaning it and getting oil on my MAF's). There was no difference in power at all. I recently had my BMC cleaned and re-oiled, and like Brooklyn said, theres an audible increase from the turbos as you're cruising around town.