I use the tunit box. It's been in my car for the last 5,000 miles and I'll never take it out. My local BMW dealer turns a blind eye to it. The car is now coming up to 10,000 miles without any problems whatsoever.
I have it on setting 6 (out of 9), which gives it bags more power throughout the whole range. There is no black smoke and the mpg is a little better than without it. I have hit 140 mph and the car still wanted to go faster - you try that in a standard 3.0d X5 !!
Bought mine from
http://www.tunit.com but you can pick one up 2nd hand on ebay to save a £few hundred.
Regards,
Dave
PS. See my earlier posts for picks of the install.