^^ this
need the car to breath more efficiently before you try to make it drink like a sailor.
FWIW, I have have been able to fully tune my stock ECU, with what yukbumer state above. I have a Tactrix cable, wideband O2, plus lucky enough to have a 4-gas analyser of my own. As suggested, you have to stop, flash, restart car.
But, I have just invested in a program called SPEEDPORT and a wifi OBDII cable. The Speedport app allows me to keep three tunes handy in my iPhone, and then allows me to swap maps, without the need of a laptop. So, I now have my OEM tune, one purchased from RPW and a full-fuel eating monster created on a dyno for me in Brisbane. This is handy, because I do a lot of driving each week from Toowoomba to my base in Canungra... I will keep the Nanna-Spec tune in there for slow inter-city drives when fuel saving is important, but be able to reflash the ECU in under a minute by the side of the road, in case I want to get saucy.
Not as good as a standalone, but let's just say, it cost me well under the figure correctly quoted by Res above.
You wouldn't need the wideband O2 or the gas analyser, if you had most of your work done by a professional.
I would suggest; $40 for the app, $55 for the wifi OBDII connector and about $400-$500 for a couple of maps.
The guy in the video is slow, mono-tonal, but correct:
http://www.youtube.com/watch?v=VbYzw5FrcNY
Good luck with whatever you choose.