In my experience, they really work if you get them set up correctly. There are many pipes out there but they all work basically the same way. Turned pipes allow some the the next intake charge to come out of the exhaust port. The exhaust port is the last to close and if the return pressure wave in the tuned pipe is timed so that the reversed pressure wave reaches the cylinder just before the exhaust port closes, it forces an extra bit of air/ fuel mixture back into the cylinder.
This reverse pressure wave also occurs in the intake ports because of the momentum that the gas has gathered from intake manifold length and engine rpm demand and then has to stop suddenly as the port or valve closes which forces the gases to bounce back in the manifold.
A major concern is when the engine is not at that magic rpm it can either forces burnt gases back into the cylinder or it dumps raw fuel into the exhaust pipe. Tuned exhausts are most commonly used on two stroke engines but pipe tuning for both intake and exhaust lengths can get you extra power.
One of the best explanations of port timing that I've seen can be found here.
MacDizzy has some great info on two stroke tuning.