Despite the spirited debate on this very forum regarding these filters, I decided I needed to find out for myself. I bought two K&N filters (unfortunately, I had no choice), and installed them on my 1994 E420. Under hard acceleration, I seemed to notice just a little more noise than before. By the seat of my pants, I definitely noticed a more urgent pull towards redline, particularly once the car got over 4000 RPMs. As many already know, this car can be a little sluggish due to the tall gearing, but once it gets rolling, the acceleration can be quite fierce. With the K&Ns, it seems to have gotten just a little angrier!
Assuming you are going to keep your car for a long, long time, the K&Ns can be thought of as cost effective. Since I live in San Diego, where it is rarely dusty, I am not overly concerned about some claims that the K&N filters do not filter as well as the paper filters, particularly since the K&N literature suggests otherwise. If my car suddenly requires a major repair, however, I may be singing another tune.
For now, I am a happy convert.