I've upgraded my ECU with a Nistune board. http://www.nistune.com
Nistune is an upgrade that replaces the EPROM with a socketed board that uses nvram and a microcontroller to emulate the EEPROM. It extends the Nissan Consult protocol to allow realtime ECU tuning with a windows application.
You can also data log with the Nistune software on your laptop, including taking inputs from external sensors such as a wideband oxygen sensor, or the multi-channel USB DLP-IO-8G.
Nistune is probably the best value for money tuning solution for a GTR Skyline, or any other compatible Nissan vehicle.
Installation is easy. You pull your ECU out, post it to Matt Brown, the Nistune author/developer, and a week later, you get it back with the board installed as you can see in the photos below.
You can take it to a tuning shop at this point and pay them anywhere from $400-$2000 for a tune. Yes, I had an 'estimate' of $2000 from some joker workshop who are only interested in PFC and other ECUs they sell.
I don't trust anyone to work on my car except for myself and two other people - my Dad, and Steve from Steves Shed. Up until this point, I've done everything myself. I thought tuning it myself would be a bit risky and beyond my abilities, but I did alot of reading, and I think I can manage, however I'll be being ultra cautious and using every advantage I can get to make sure I don't blow things up.
In line with this, I've bought an Individual software licence so I can tune things myself.
There are a few more things left to do before I can start tuning. Stay... tuned?