I don't know what other brands are like, but there was a rash of buys and raves for Mark D'Sylva's EAT Ultrachip (we did a group buy a few months back):
http://www.dsylva-tech.ca/
I have one in my 540iA, and there was a moderate but noticeable change in the engine's behavior after the install. A little bit quicker on the low end of the tach. I definitely think it was worth it; I now also get 25mpg on the highway (city is about the same, 15.5-16.5 depending on the weather and my driving mood). By now, though, I can't really remember what the car was like with the stock chip.
At that point his chips were cheaper; they're $200 now.