I put a cold air intake (k&n filter) on my EA MPFI, and it made the throttle way more sensitive and throws the tacho from 4 to 5000 revs much quicker. As soon as I got it done I could easily do chirpeees when changing from 1st to 2nd so it must have gave her some go. I also had extractors and an exhaust before I had the air filter. It probably made the extractors work closer to their full potential.
Some things that I have noticed are that because I live out in the country, bugs and dust clog up in it quickly. At about 1200 Kms after I fitted it, it didn't seem to make that "sucking" sound like it used to. All it was was a heap of crap in all the grooves of it and it needed cleaning. When you are cleaning it use kero not petrol because petrol reacts with the rubber welds and buy a spray can of filter oil to spray on it. Putting filter oil into a hair spray thing doesn't seem to go too well at all.
Have a look down the chrome tube when you take the filter off and make sure that not too much dust is getting past the filter (the element is very very thin) - otherwise you might need to oil it a bit more ( this may stop a bit of air getting in but the decision you need to make is whether you want to sacrifice the life of your motor for more power.)