If you have a local performance shop with a K&N air filter demo setup, go check it out (or check on YouTube, I'm sure they have something there). There are plenty of benefits, but not a huge HP gain. This isn't a power adder like reflashing/remapping/modifying the engine/electronics. Think of it more like it allows you to get more HP with other modifications (like said before).
These are the things I love about the K&N (or any flavor of non-paper oil/cotton air filter):
1. You will get significantly more unrestricted air flow (see demo). Not necessarily
2. Reusable throughout the life of the vehicle (so if you have to replace a normal filter, might as well pay a little more and never have to buy another one again).
3. Oil / cotton catches more dirt / particles than paper and won't clog when "dirty".
4. Each K&N air filter comes with at least 2 stickers so you can show everyone that you are a racer now! (JK, had to throw that out there).
Seriously, please don't put the K&N sticker on your bike. Seriously
Really, these are the most important things to me whether I get more HP or not, I feel better about the oil / cotton filtration. #2 is what sells me when replacing my air filter. I HATE dropping $40-$60 on a filter that gets dirty in no time and I have to replace it again