Opinions vary on this one
Some reckon that often, aftermarket filters that use oil (like k+n) can cause long term damage to the MAF, leading in poor performance.
It's also said that the performance gained isn't very noticeable anyway by some.
I've never tried one myself, and I'm abit put off with all the stories of MAF's going awol (as they aren't cheap to replace).
A good friend of mine however has just stuck a K+N panel filter in his R32, and he swears it now pulls much harder top end. Whether or not he's just imagining this, I dont know. But I will be driving his car very shortley to compare..
I'll let you know what I find out soon...