Hello,
I added a K&N kit to my MX and definitely noticed a slight change. The most noticable change is in the sound of the vehicle. It gets the typical K&N 'growl' as it's sometimes called. Basically you can hear it pulling the air into the intake. The stock one, while not bad, doesn't get the same airflow that the K&N can.
However, if you really want to do it right, I recommend running a pipe of some kind down to the grill or somewhere were air can be forced in through the front of the car as you drive. The forced air gives you a little extra. The reason for this is simple. Colder air means more power. The standard K&N kit you can get in stores keeps the intake within the engine compartment... which is generally pretty warm. Warm air is less dense, and thus doesn't combust with as much boom as cold air does. Running a pipe to somewhere with fresh air will definitely optimize your gains. The increase is still only something between 6 and 12%, though. So don't expect any amazing changes.
One thing to be careful of, though... being exposed to the outside, means being exposed to the elements (bugs, rocks, water, dust, etc.) so you will probably need to clean the filter more often than if you were to have it in the engine compartment.
You can either buy a cold air intake, or you can make one (saves a lot of $$$, gives similar performance, costs a lot less, though doesn't look as flashy). I think I remember seeing how to make one on
www.autospeed.com. When I installed my system, it only took me about 2 hours (and I was kind of taking my time). Fun thing to do on a saturday afternoon. Best of luck
TOM