Cold air intake or cold air destroyer

I was just wondering if any one in here has had any trouble after putting in a CAI (Cold Air Intake) or has heard of any problems folks might of had?
I was going to put a CAI and an exhaust on my Mk lV 2.0 and a guy from work says that doing so would would mess up the O2 sensor.

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Brand new and proud owner of a 2003 Jetta 2.0 non turbo.

Hello, I live in northern Canada. I am aware of a horror story that is not an urban legend. This is what happened
A local wannabee racer asked our dealer if doing this voided his warantee . They said yes, and he went to a speed shop in a different city and they installed it. 2 days later it was towed in to the dealer . They drove into a local robotic car wash. It washes the bottom of the car as well as the top. He was inside reving the motor to impress a young lady , when the nozzles sprayed directly into his newly located cold air kit. A hydrauliced 2007 Jetta engine is not worth much and definetly not covered by warantee. That kit cost him at least $5,000 Watch out for puddles and car washes if you install it. Al