[RedSector]

K&N air filter vs std are normally an improvement. (May add few HP or not, assuming they make one that directly replaces the existing filter)
I would consider adding Provent 200 and oil catch can. (for added life to EGR, Intercooler and Air Doser Valve, basically a cyclone that stops/greatly reduces the CCV system feeding oil+water vapours into the air intake)

I don't always follow all modifications available, but the above are two I did do for my 4007 2.2l HDi.