I would like to echo what the others have said regarding the exhaust system and the 97+ cylindrical style GM filter "upgrade".
If you do feel however, that you would like to pursue a Cold Air Intake, please bear in mind that restriction is as important (actually more IMHO), than the temperature of the air. If you install a CAI that indeed does draw "cooler" air, you should take steps to verify that the restriction of such a system is lower than (or at least equal to) the factory system.
The restriction is even more important on factory W/G equipped trucks, as the factory system monitors the boost pressure through the MAP and attempts to achieve a preset level of boost at all conditions. If your intake is more restrictive than factory, even with drawing cool air, this could still result in higher IAT's than the factory setup. This is because turbo compressors operate on a pressure ratio basis and the the resulting manifold Intake Air Temperature is more than directly proportional to the pressure ratio through the compressor. For example, if there is no restriction on the inlet side of the compressor (P1 = 14.69PSIA), and the computer is calling for 9PSIG of boost pressure (23.69PSIA), then your turbo needs to operate on a pressure ratio of: (9PSIG + 14.69PSIA) / 14.69PSIA = 1.61
If you now incur just 30 inches of water column restriction (2.31inHg), that equates to a "loss" of 1.13 PSIA on the inlet side of the compressor. Since the computer still wants 9PSIG (23.69PSIA), then your compressor now has to "work" on a pressure ratio of (9 PSIG + 14.69PSIA) / 13.56 PSIA = 1.75. This results in higher IAT's, even with the cooler air at the inlet.
The preceding example underscores the importance of restriction when considering a Cold Air Intake.
If you don't want to measure the parameters used above to calculate the actual performance of your CAI, you can always monitor the IAT's and MAP readings with a scanner for your old intake versus your new intake to ensure that it does provide a benefit.
Regards,