I don't think any cold air intakes void warranties - they're just basic bolt on aftermarket parts. All they do is suck in colder air, in greater amounts, than the stock intake. Because the engine needs air + fuel + a spark to make an explosion in the combustion chamber, having colder air in greater amounts provides more power.

The only thing you must watch out for with cold air intakes is accidently water ingestion. If you notice, the intake extends down into the bumper area, where it can suck in colder air than where the stock airbox is (right next to the engine). However, being lower towards the ground, near the bumper, creates the risk of the intake sucking in water (VERY VERY BAD), especially in heavy rain and/or standing water. Luckily, this is a rare occurrence, and many intake manufacturers also make bypass valves and other accessories to prevent this.

As far as prices, I remember the AEM cold air intake I had for my Honda was roughly $200. I think the K&N's run for even less.