Out of curiousity (and scepticism) I put my 95 M3 on the dyno at HMS Motorsport
to test the stock/euro airbox and the stock/K&N filter (the car also has a JC chip);
all components are from the GREAT GUYS at TURNER MOTORSPORT.

We did two runs with each configuration. The dyno #'s measure HP and torque at the rear wheel, w/ peak HP _at_ ~6100 RPM and peak torque _at_ ~4300 RPM. I was told that a stock M3 puts out ~209 HP at the rear wheel. Here are the dyno #'s:

1 Stock airbox, stock filter: Max Power: 222.4 Max Torque: 219.2 (run #1) 2 Stock airbox, K&N filter: Max Power: 223.6 Max Torque: 221.2 (run #3) 3 Euro airbox, stock filter: Max Power: 227.4 Max Torque: 223.2 (run #6) 4 Euro airbox, K&N filter: Max Power: ~225 Max Torque: ~222 (run #7 & 8)

Runs #7 & #8 were thought inaccurate because the car was getting hot.

>From the dyno #'s, it seems the JC chip gives the biggest bang for the $,
the K&N filter adds ~1 HP, and the euro airbox (without brake duct scoop) adds another 4 HP.