Panel filters free up top end revs a little, perhaps adding a few BHP at peak rpm, they do not suck in warm air from the engine bay and do not sap your low end power like induction kits can. I recommend them but you will not notice a big difference with them unless you spend all your time up at high revs. The plus is that they are washable so you will save money long term.
What things have you heard about them - I usually find that there are some elements of truth in rumours but you should really get down to the bottom line.