IMO, changing gears is one of the best mods to do to a car. In one of my old cars I changed the rear gear from 3.42 to 4.10 and it felt like it gained about 30-35 lb-ft and hp. Definitely makes the car a lot quicker and funner to drive.

That being said, I like the responsiveness of my 4.4 and don't think it'd be worth it (labor, recalibrate speedometer, 1st one to do this mod, etc.) to me to change gears. However, in something like an M3 it would be one of the first things I'd mod.