Yes they are worth it, especially when swapping gears (99-04 ONLY, 96-98 use a non-electronic sensor).
YES you can damage/blow your motor up by improperly tuning with ANY flash tuner.
Spro, this is not a knock against you, but pleeaaaaaaseeeee dont advise anyone to "max" out their timing. That can be the express lane to destruction.
Each car is different, some may ping with very little timing advance, some may like a few degrees, some can take the maxed out setting. I have to limit mine to around 5-6* advance before it starts to ping at the drag strip.
Yes, it will make a difference but adjust it in small increments only. Test run the car, go wide open throttle under load and listen for knocking/pinging... if you hear any, back the timing down 1-2 degrees or untill it stops pinging 100%.
And yes, you must run premium after installing the tune. I had absoloutly no choice and had to run 89 octane once, it did not ping but that is because I was not goin WOT or running the car hard. Many places will offer a different tune for a lower octane, just check into it if you dont want to run 93... you wont gain full performance from one though.
Also it is a very good idea to dyno the car after installing the tune, to check the air/fuel ratio. My car was very lean (13.8) after installing my tune, not touching the fuel settings. Needless to say I needed to richen it up some, which only took 5 minuts...
If you run too lean you can toast the engine too. Too lean/too much spark advance is a real bad combo.
But, if you do some HW, check things out on the dyno, its all good. They are handy tools and serve multiple purposes (gear calibrations, trouble codes, performance).
I gained 7rwhp and 13lbft of tourqe AFTER my tune was allready installed just by adjusting my fuel and spark curves. So to me, yes it was worth it very much so... I only paid $175 for mine used, and I also used it to calibrate my gear ratio.