Another reason is that the loss of low-end torque
I've dyno'd my car stock and with 2 different CAI's installed. And have been pretty happy with the results. No loses, only gains. Even in the low to mid range part of the power band. I've also had a WAI and I personally wasn't impressed with the minor gains it provided, although it is much better then a stock intake.
As far as sound goes, I personally love the way a nice CAI sounds in conjunction with a good exhaust. I didn't have to drill any holes to put the pipe through the fender wall, but then again I've got a B15 so my setup is a little different from the B14.