Cold air intakes are a fairly inexpensive modification (typically a few hundred dollars) and easier to install than most other engine modifications. No, they won't add quite as much power as other engine mods, but they will help your engine in some other ways.
Think of a factory air intake system as like having a cold that clogs up your head and restricts your breathing. Now go running. It's not going to work very well is it? A cold air intake is like amazing medicine that allows your engine to finally breath.
Cold air intakes move the air filter outside of the engine compartment so that cooler air can be sucked into the engine for combustion. Cooler air brings more oxygen (denser air) into the combustion chamber and that means more power. The filters are usually moved to the upper wheel well area or near a fender where there is more access to free flowing, cooler air and less hot air from the engine.
Not too shabby. But it gets even better.
Not only does a cold air intake reduce the air temperature, but it also increases airflow. Aftermarket intakes remove the need for a box surrounding the air filter and instead use large diameter intake tubes that are smoother, have less bends and are often wider than the original factory ones. Removing the air box and using smoother tubes gives the engine uninterrupted airflow.