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The short answer is, yes tuners work. BUT...you have to have the skill and knowledge to properly use it. If you don't know what you're doing you can badly damage your car. Some tuning devices are better than others. You will also get a lot more out of tuning a car the more mods that you have. In addition, you might want to consider a wideband O2 sensor. This will provide you with useful data that you'll likely want if you're going to actually be tuning the car yourself. It will never be as good as a real dyno tune, but they can be very useful if you know what you're doing. Depending on the tuner that you purchase, you can get people who do know what they're doing to create tunes for you that you can then upload yourself. Also make certain that you ALWAYS keep a copy of the stock tune. For more info on this, there is an entire subforum called C5 Scan & Tune that can help you out with TONS of useful info.
Go directly to the Diablo Sport website and check out the tuners that are current here. They are preloaded with tunes that are easy to install and will make a difference. You can also have tunes written by DiablLew / 06MonteSS that will be specific for your car and aftermarket options you may have installed. Cheapest HP / perfomance gains you will find.
Beware any tuner that "locks" your PCM. I would not use a "tune in a box" type tuner unless there's a written guaranty that the PCM won't be "locked" by it. If you don't like that tune, and the "tuner" device locks the PCM, then if you take it to a local tuning specialist, they won't be able to do anything with that PCM and you'll need a replacement PCM before you can do anything else. The same thing happens if you go to a dealership for any work that involves the electronics, including anything with DTCs set in the PCM. With a locked PCM, they may not even be able to install upgraded firmware on your PCM, or even restore it to the factory specs.
So, even though Scotty can be annoying at times, he is correct about one thing. You need to be careful what you plug into your OBD-II port. It is possible for a device that connect to that port to do major damage to the electronics in your car.
Do you know what a PCM costs if I totally blow mine out?
Maybe if I went to MIT I could understand how these things work.
Or maybe go back to my grandpas Rambler to fix things
with a screw driver and pliers.