Yes in fact, I have a 95' 240sx se and put the Stillen kit under my hood. It made it loud when I give it excessive gas, and I did notice a definate horepower increase.
I own a 1989 240SX and recently went racing at http://www.searspoint.com (Sears Point Raceway) during a club day. There were 4 - 20 minute sessions during the one day I was there. I started out with a totally stock car (ok, I have a GAB front strut brace) for the first 2 sessions. After that I quickly changed to the K&N/Stillen kit. It was a pain to install, mainly because the old airbox was difficult to remove. I went out on the track with an instructor who was with me for the first 2 sessions. No big deal until I really hit the gas coming out of one of the corners - the instructor turned around looking for the "other car". The K&N really makes a big difference in the sound the car makes. It *felt* like there was a performance difference as well. Mainly, the car seemed to rev more freely. There wasn't much different at low speeds, but at full throttle it was really noticeable.