Let's just accept the "safety" part of the dyno tune as MANDATORY..
Now, let's focus on the "power" side. We all spend TONS of money on stuff here. We spend hundreds on an exhaust system for nice sound and what, 10 ponies?

We spend $100 for Pullies and what, 10 ponies? We spend all this money for a few HP here and there and then what...NO TUNE.
For a couple of hundred, you could potentially be missing out on 20-50HP depending on your setup. THe more beefy the setup, the more you may be missing out.
The shop that did my Vortech (even tho they screwed up some things) included a "basic" tune in their install. They looked at the AFR and adjusted timing to get what they could and be safe. The owner there told me that a couple of years ago, they got a car from 420 to 500 HP with about $300 in parts and a dyno tune on a car that was never tuned right.
If you have a shop install a SC, they usually include a basic dyno tune in their install price. If you are doing it yourself, then YES go to a good place for a GREAT tune.
RC