The idea behind these upgrades is to increase power output of the motor, which may (or may not) be combined with an improvement in fuel economy.
Unfortunately most chips just alter the pressure in the fuel rail. There's a good reason for this. At normal pressures, the injectors open for a period determined by the ECU and a certain amount of fuel squeezes through. If you increase the fuel rail pressure, more fuel will be squeezed through in that same time period - so you can increase the fuel flow without modifying the ECU. Conversely, you can REDUCE the fuel rail pressure and therefore reduce the amount of fuel that is injected.
The YD25 engine has multiple injector openings during a power stroke. Trying to modify this so that you could have fewer, or shorter duration openings, is not a simple thing. It would require reprogramming of the ECU and at the first service that Nissan do, they may return the ECU to its original program and your effort is lost.
One chip (ChipIt) also modifies the turbocharger's vanes. On the D40, the Garrett 206V turbo has vanes on the compressor output that can be moved to adjust the amount of boosting the turbocharger provides. It's very, very quick - much faster than waiting for the turbo to spin up or down. Adjusting the boost can help improve power delivery at certain points in the throttle range as long as EGT (Exhaust Gas Temperature) is monitored so that the exhaust doesn't get too hot to be dangerous (to the motor).
Lastly, it's possible to fool the ECU into the crank angle position, which is what UniChip does. This lets the chip decide whether to advance or retard the "ignition" - in a diesel, that's the point when the fuel is squirted into the cylinder. Making small adjustments to this allows a further change in engine power.
As for exhausts, the 2.5" system installed already is quite adequate. The turbine outlet is quite restrictive and beyond that the exhaust is mostly open - don't worry too much about back-pressure. The goal with the larger exhausts is to clear the exhaust gas quicker - which is not a bad thing. Removing your dump pipe, DPF and CAT will definitely improve performance by a small degree by removing the restrictions but these have their own caveats.
How useful are they to you, in the real world?
If you like a car that performs better, they're a bonus. You certainly get a vehicle that has more beans, but often those beans cost more in fuel.
If you use the extra power to create economy (which you can do) then you're going to have a better-performing (economy-wise) vehicle.
The question for you is: do you want to spend the money needed to improve the economy and/or put extra ponies under the bonnet? How important are those ponies?
If you're towing you might choose to do this, because there are good savings to be had by having more power available (not necessarily used).
In the end it's going to come down to personal preference. I am not rushing into these things myself, firstly because I'm mostly happy with the performance of my vehicle, but also because I don't want to be concerned about vehicle warranty. The YD25 engine isn't cheap, and Nissan don't like it when you chip yours. If something blows up, they could blame the chip and the price tag on a replacement engine is in the 5-figure realm.
