Mike R. and Kevin:
The main performance gain comes from replacing the catalytic converter with the Y-piece. The lamda sensor simply unscrews from the cat and is replaced/screwed into the new Y-piece. The engine management system adjusts itself to compensate for the change in exhaust gases.
There are a few extra horses to be gained from fitting a different end can, particular if you go for a race can. One of the main and obvious savings though is in the weight difference between old and new systems.
Performance really takes a hike when you add a performance chip. The BBChip for the Sebring/Remus systems is an excellent bit of kit allowing adjustments for about 6 different settings and compensation for different fuel octane ratings (for RTW trips) but it's expensive (about £280).
All in, a Remus Y-piece, Titanium can, and BBChip, will set you back nearly £800 (fitting it yourself). Obviously there are a lot of second hand bargains out there and the alloy race can is a cheaper alternative.
I've fitted a Laser Pro D'Or System with Superchip and if you buy direct from the suppliers and fit yourself you should get it all-in for about £550. It's a slightly more aggressive system than the Remus, higher pitched whine when you accelerate, and very very responsive on the throttle, giving marginally better performance. Neither set-up should lose you fuel consumption even though the bike runs richer.
Obviously, a cheap starting point would be fitting a Sebring Y-piece from Bracken for £150 and keeping the standard can. You'll be well pleased with the result . . . but be warned, you'll want to go the whole hog.
I was a skeptic about the need for it, but now I'm a convert and zealot. It totally transforms the GS into a much better bike.
Simon E.