Ed has shown us that you can get a modest, reliable power increase with headers, intake and a careful ECU remap tune designed for his car. It can also go the other way. Here is a guy with Che headers and jury rigged o2 sensors on a 2001 S:
http://www.986forum.com/forums/showthread.php?t=15381
He had other issues as well but if the o2 sensors were in and working, and he paid attention to the CEL and error codes he would probably still be driving his car. I have not heard an update but I suspect his 3.2L motor is now a fine $8k German boat anchor. Be careful.