Both methods have advantages and disadvantages. On my last car i used both! A mild remap and a tuning box on a low setting gave the best of both worlds! MPG was about 5% better than standard.
A tuning box increases the fuel rail pressure which tends to give a better response and power low down. A remap could not replicate this (on my last car at least). However, the remap always gave better power top end.
I used this tuning box with my good results and excellent customer service. As you can see they also have actual performace measurements too.
http://tuning-diesels.com/BMW/bmw.htm
This is a digital tuning box which is fully adjustable and can even have an On/Off and power setting switch on the dash.
This is also a good discussion and the pros/cons of both methods here:-
http://tuning-diesels.com/dfacts3.htm
Which ever route you take it is ESSENTIAL to make sure your MAF sensor is working correctly. Generally after about 40k-60k miles they all need replacing. They should be a service item in my opinion.