Yeh well ive been thinking about it myself, mainly as i was looking into getting a set of exhaust headers made up (probabley the best mod to do on the N/A's) but ive heard of a problem with the gen 4 models... Ive been told they have 2 o2 sensors and a flow sensor (or something like that) and if you put a better flowing set of headers and cat on it can cause a 'check engine light' to show up on the dash, depending on how tight the parameters on the ecu are. So i looked into seeing if a ecu tune such as ECUTEK etc. could allow you to change the parameters (make the ecu read that the more exhaust flow is correct, thus removing the CEL) to overcome this problem, I was told that this is posible.
I wouldnt be looking into a ECU tune without getting headers as IMO the headers are going to play the most significant gain, but in saying that your probably looking at around $1000 - $1500 to get custom headers made and i guess around $800 for the tune. The ECU tune alone will probably net you a little more drivability.. maybe a little more power but not worth the $$ for the gains IMO.I would have gone through with it but im currently in process of buying a house and just cant afford to be spending that sort of cash.