This is the guide but forget about any power gain.
Intake
There are basicly two different types of intakes on the market. "Short Ram" and "Cold Air" intakes.
A "Short Ram" intake is a filter on the end of the intake tube that sits inside the engine bay. Generally a shorter distance from the filter into the throttle body.
A "Cold Air" intake locates the air filter outside of the engine bay. It gets its name "Cold Air" from pulling in air from out side of the engine bay not the warm air from inside of the engine bay. Cold Airs do not magically cool off the air, it just brings in cooler air from outside the engine room.
Intakes that fall under the "Short Ram" catagory are: Jim Wolf Technology (JWT) Pop Charger, K&N Typhoon and Fujita intakes.
Intakes that fall under the "Cold Air Intake" catagory are: NISMO, AEM and INJEN.
There are some more intakes then these, but these are the main ones to look for.
The Performance Difference
All of these intakes will give you some kind of gain when installed properly. They all give you a larger more roaring sound from the engine bay at full throttle once above around 4000RPM. With a Short Ram Intake, there is less distance for air to travel from filter to throttle body. This makes for better throttle response and greater power at higher RPM's. Cold Airs do not have as quick of a throttle response but gain a little more in the mid range of the RPM band.
Air is constantly moving through the engine bay while the car is in motion. Filter placement is key here. Where the Short Rams place the filter is in a pressurized zone where air is directed towards the filter. On a Dyno, the car sits still so generally these numbers are lower, but in motion, this is where these intakes shine.
Filter placement is something to look for on cold air intakes. The INJEN intake places its filter infront of the radiator. At highway speeds, a cushin of air is formed around the filter directing on coming air around the filter. It is harder for the engine to draw in air when the filter is in a high turblent area like this. On the NISMO / AEM intake the filter is placed infront of the wheel. In this area air is less turbulent so the engine can draw in air with less effort.
With a Cold Air Intake you can possibly suck water up into your engine. To avoid this, look for an intake that includes or has an option to add a water diverter valve. This keeps water from being sucked into the engine by bringing air in through the valve rather then the soaking wet filter. The NISMO intake includes this. It is an option with the AEM. Short Ram intakes do not have this problem.
Is it possible for an aftermarket intake to void your warranty? Yes. Only if the Mass Air Flow sensor is damaged. The only time this happens is during instalation or if an over oiled filter is installed. If oil or any particle comes in contact with the MAF it could damage it. A MAF can be damaged with the stock intake as well.
The intake that makes the best horsepower gain for the money, sound, and performance that I would recomend is the JWT Pop Charger. $120 plus shipping and a independantly proven consitant 6.5 Horse power to the wheels gain. This is the way to go.