CAI has been proven over and over and over to work on dynos. It has also proven NOT to work. Huh? I have seen anywhere from 0 - 25 rwhp gains from CAI depending on the car and the mods that it already has. The right CAI on a '03 Cobra can net over 20 hp for example. CAI can also cause some idle problems too and trouble with the MAF on fenderwall styles. Most would agree that they also look nice too.
Choose carfully when picking the one you want. If you are into looks, then get one that looks nice. If not, then don't. You can also make one yourself for cheap.
I was just looking under the hood a a guys '93 Stang....he is going low 9's with laughing gas and the motor is heavily modded. He uses CAI.
When it comes to "seat of the pants" feeling from bolt-ons giving 5 - 10 hp gains, that's a pretty good calibrated rump when folks say they can feel them. I think it's their wallet in their pants doing the talking, but it all adds up. I believe that the 99+ Mustangs are mostly limited at the exhaust and not the intake, but the right CAI with exhaust mods is a good match.