Honestly, I got a tune when I had intakes only and noticed a significant different in throttle response alone. Fan control is good, too, if you are in a hot climate. If you have the $$ for a tune, I would recommend one as soon as your schedule allows. Then you can update it as you add mods
For intake and exhaust, the consensus is you don't absolutely need one, but you will be better off and should see decent gains depending on the ones you get. Adding headers and the intake plenum, you will definitely want to have it tuned.
A tune is all about dialing in the car. While Nissan does a pretty good job (there is little/no hp gains tuning a stock NA Z), there are definitely some things a tune can improve from the start. Not to mention it will take advantage of those bolt-ons much better than the stock tune. I'm of the mindset that anything to improve my driving experience is a good thing (I don't really care about #'s). My tune did just that, so I'm quite happy
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