Not true! There are many cais that offer great hp increases without a tune. The AFE intake, which can be found here,
http://www.v6mustangstuff.com/05AirFuel.htm has been repeatedly dynoed to offer at least 12 hp and does not require a tune!
If you get a cai w/ a tune you will definitly notice much more of a gain but you will double your cost. It all depends on what you wanna spend, the AFE is a great intake. Many CAIs that require a tune will come with a tuner as you can see from the site above and it is very easy to do it yourself, just plug and play.
The AFE provides 12 hp for $250 while the tuner AND intake can provide 25 RWHP for $600...it all comes down to what you wanna spend.