Hi. I live in Chicago. We get a normal amount of rain during the winter and lots of snow in the winter. I was wondering, would it be better to get a cold air intake, or an AEM V2?
Get a CAI with a bypass valve. Look it up, they won't suck up air when driving in the rain. Not sure if AEM does this as well but kn includes a dust cover for the filter that also works as a bit of a water repellant. It won't replace a bypass valve but having both would make it your best option with a CAI.
I haven't used the AEM V2 but I've heard very good things about them. If you add it alone, you might get a couple extra horses. If you combine that with a performance exhaust, you will benefit more. If your car has a turbo, a cold air intake generally won't make that much of a difference - but it will still benefit from the less restrictive filter. If you are looking for other options, Injen makes a good product as well.
save your money your car has a cold air intake now, think about it, this is a marketing gimmick, other than maybe being noisy cause you can hear the engine suck air, the horsepower gains are minimal at best, if all the crap available worked you could double the horsepower on any car, it does not work that way, if you want true horsepower gains, save your money and put on a turbo this at least makes sense, than trying to keep rain out of another style air cleaner.