I compared the HK system with the basic system side by side last week on my friends cars (one with HK, the other without; both 2004 models). Needless to say, the HK sounded better, but if you ask whether there was significant improvement (in particular, whether it was worth $950 Canadian dollars), my answer would definitely be No.
And hence I opted out of the HK option when I put my money down for my new 330ci this past weekend.