First, it's benefit to understand the parts to the car's cold air intake system. On many cars, the first part of the cold air intake tract the incoming air encounters is a tube of some sort designed to channel cold air from behind the grille or inside the fenderwell into the engine. Other cars lack this tube, and draw in hot air from under the hood. The air then passes into the air box or air cleaner; an air box is boxy shaped and usually found on fuel injected cars, while air cleaners look like overgrown tuna cans and are usually found on carbureted cars. Either one will contain an air filter to remove any incoming dirt, insects, and any other contaminants the air might have picked up off the road.
Find the Air intake thats right for you:
The next benefit the air is likely to encounter is either the carburetor or, on fuel injected cars, the throttle body. Some engines will have multiple carburetors, or rarely multiple throttle bodies. Either one contains a butterfly valve which controls the amount of incoming air allowed into the engine. Carburetors and some throttle bodies will add fuel to the incoming air at this point, while multi-port fuel injection systems add the fuel at a point further downstream. The throttle body or carburetor will be bolted onto a manifold, which distributes the air to the individual cylinders. Engines with multi-port fuel injection will have a set of fuel injectors bolted to the manifold near where it attaches to the cylinder heads, usually accompanied by a fuel rail, which is basically a fancy looking pipe which delivers fuel to the injectors.
Getting a Good Filter: The easiest cold air intake mod
The stock paper element air filter is cheap, but a K&N cotton filter will benefit significantly more airflow capacity. These filters are available for almost all applications, from 60's era muscle cars to the newest Japanese imports, and they seem to have decent results in almost every application. Hot Rod reported a 5 hp increase at the rear wheels when testing one of these on a ‘96 Mustang, while Overboost found that one of these made a 2.5 hp improvement on an otherwise stock Dodge Omni. While these gains aren't huge, these filters are very inexpensive compared to other modifications, and easy to install. Plus, they last much longer than conventional paper elements, so you could conceivably save money in the long run. Accel also makes a line of low-restriction foam filters which offer comparable airflow characteristics to the K&N filters.
Cold Air Induction benefit
If you've taken chemistry classes, you've probably seen the ideal gas equation, PV=nRT. This relationship between the pressure, temperature, and volume of a gas indicates that if the gas is colder, it's denser, and denser air will provide more oxygen, allowing your car to burn more fuel and make more power. A common rule of thumb holds that decreasing air cold air intake temperature by 10 degrees F will increase horsepower and torque by 1%. The converse is also true; a 10 degree rise in cold air intake temperature will cost you 1% of your horsepower. Some aftermarket "short-ram" airboxes for newer imports draw in air from under the hood, which might work decently with an engine that's been sitting overnight, but once it warms up, the aftermarket "performance" airbox will decrease power. An additional benefit of aftermarket airboxes and cold air induction systems is that stock airboxes are frequently designed with restrictive systems for reducing noise. A system designed entirely for performance can add a couple of horsepower over the stock airbox, but beware, as there are quite a few aftermarket cold air induction systems and similar modifications that do not improve performance at all!
So I Could Just Put a Cone Filter on a Pipe?
In a word, yes! The aftermarket cold air cold air intakes are frequently just a cone filter on a tube, and there's nothing magic about them. A cone filter positioned to draw cold air and connected to a suitable tube can get just as good results as an aftermarket setup for a lot less money. Possible choices for a homemade cold air cold air intake include plastic drain pipe, metal drier hose, ABS plastic fittings, and fiberglass or carbon fiber (both of which can be fabricated at home with a little practice and some raw materials from an aircraft kit company or boating supply store). Although PVC pipe is easy to work with, I don't recommend it benefits as PVC doesn't have the temperature resistance of other plastics.