I was looking in to this a while back and it's the main reason I'm waiting to buy my CAI (BBK or ATTK) with a tuner. The combo saves some money and throwing a CAI on alone, even a no-tune required unit, without a tune is pointless in that the car would still feel the same, drive the same.
My bolt on list will be; CAI, TB, header backs and a tuner. The thing is, none of it will really come together without a tuner.
As a former STi owner, I've really come to appreciate how much difference a tune, even alone, can make.