Has anyone ever used one of these? I was thinking of trying one, primarily to increase horse power on my car, although you can select other maps and programs to modify performance in other areas as well.

I don't know much about Cobb's rep in the BMW world, but they're well respected in the Mazda and Subaru communities. They generally make great parts and I wouldn't hesitate to run that. Not sure if there are cheaper options out there for Bimmers, that seems pricey.

Ill get you a number for a killer audi mechanic. He'll be able to tell ya what's good or not.

These things are cool with all kinds of different maps and programs perinstalled or you can download onto the unit from their site and upload to the vehicle. Can set high end performance and increasing hp by up 100 and reduce top speed to 35 within minutes. Can track all your performance profiles and send them to COBB to personalize maps.
Considering the capabilities of this unit, in the right hands, not mine, this would be an amazing gadget to toy around with a high performance rig.

The biggest perk is the ability to map custom tunes. A competent shop can make you a custom tune and get a decent chunk more horsepower than the off the shelf tunes can. This becomes more and more true if you continue to mod your car. SCR Performance in Loveland has a strong rep with BMWs. You might give them a call to get their take on the best tuner for your needs.