We have tested (flow bench and dyno) several filters and cold air inductions systems. (I have to disclose that we are K&N Distributors.)
K&N does disclose on each of their units what the expected HP gains will be over stock and they are pretty close based upon our tests. You can usually expect 5 to 15 HP depending up the vehicle. A couple points: They show the gains with STP correction factors. These usually are about .05 percent higher than SAE gains. (Not a big deal.) Also, these gains take place at and beyond peak torque range. So you certainly aren't going to notice anything in the seat of your pants in normal driving.
One other thing: In spite of what Al Gore might have told you, changing your air filter does not increase MPG on any later model fuel injected car. It can help on a carb'd car.
K&N's are very well constructed and designed and are typically a good investment due to longevity.