On normally aspirated cars...the difference in going to a CAI is slight...even K&N shows this if you look at their charts that shows the increase in each set up.
That said, on turbos and supercharged engines, there can be a good incrase. According to K&N, on my '03 Cobra, it's worth something like 30HP. I know I went from 9 pounds of boost to 10. Turbo diesel trucks get an increase as well. The sound from the front with the blower whine is awesome...but this is the exception to the rule.
A number of years ago, the whole debate about how well they filter came up on the VCA site. At the time, there was a Viper model, the ACR that came with K&Ns from the factory. Those, combined with smooth intake hoses were good for 10HP according to Dodge. Mind you, we're starting with 450 to begin with. A slight, never notice it, increase. Back on topic, I contacted K&N who verified that their filters actually filter out smaller pieces than a paper filter can. The dirtier they get, the better they filter. And, even when dirty, they flow better than a new paper filter. I cannot imagine that Dodge would have specified filters for a car they would have to warranty...if the filters could remotely cause a problem.
I know some of the Mustang guys have had MAFs get oil on them, that caused a problem. In most cases, it's due to simple over oiling of the filter after a cleaning. If memory serves me, K&N recommends cleaning every 30,000 miles.
In closing, I'd like to add one more point. In most cases, there is no big increase. I know for my V10 Excursion the increase of a K&N CAI is 12HP. If the car makers saw a way to improve power and performance by redesigning their intakes....don't you think they would do it just for the CAFE? Obviously, they need to be concerned with noise too.