Ive got the NeuSpeed pipe on my car. I think the main advantage is the adapter/muffler thing on the discharge side of the turbo which is replaced with these aftermarket pipes. The stock adapter looks restrictive. The rest of the pipe is pretty similar in diameter to stock.
As mentioned, some sound and throttle response are the main benefits. You might get 5hp, but not enough to feel anything. On a heavy car like the Golf R, you need more like 20-30hp to feel any difference.
I found the charge pipe (i have the BSH charge pipe) to give more power than the discharge pipe on my car.