This can quickly become a religious debate, but here's my $.02.
I don't know about all the HP and milage claims these companies make, but I've been running a K&N filter for 2 years and this is what I can say I've noticed - a definite increase in throttle response, especially at low throttle, like pulling out from a stop, or most off-road situations.
More HP? Who knows?
Better milage? I get 16-18mpg consistantly.
Is it worth $250? No way.
Buy a K&N for around $40 and then get a Rusty's air tube for $30.
Clean the filter 2-3x / year and you'll be fine.