All engines will lose a bit of unburnt fuel out the exhaust. On my vr6 it is very minimal judging by the emissions on the last MOT.
On road cars, most will benefit from a sports exhaust and a sports filter. This is because manufacturers want to keep noise levels down, but this also hinders performance.
I don't think you can really compare a road car to a rally car, as they are highly tuned, and any alteration could prove critical. On a road car this is not as important.
From my own experiences, a k&n and a drilled box proved to be the best mod on my vr6, better than the exhaust.
This is not because i got huge overall gains, but because i got a much more responsive car.
With a stock filter and a standard airbox, the car did very little below 4000rpm, but with a k&n and a drilled box, the car started to pull well at about 2000rpm.
Personally i have had 2 16v's and a vr6, this has proved the case with all the cars.
The better a road car can breathe, the more performance, its that simple.