I don't know an exact HP#, but I would guess approx. 20-25hp. I can tell you it is well worth it. I'm sure many members would agree. Most people on here got their's from James @ Henson Performance.
Just the changes he made to the trans shifts (timing, firmness,etc...) made it feel like a whole new truck.
While the tuning is great on it's own (on a bone stock vehicle), it really shines when combined with some other basic mods. Cold Air Intake, cat-back exhaust,etc... I think your '03 has the "Drive-By-Wire" Electronic throttle??? If so, I believe he can really make some improvements with the "feel" of that setup too.
A bone-stock 2nd gen Explorer, like mine, will usually run the 1/4 in the high 16's to low 17's. With a K&N FIPK and and XCAL3 w/ Henson tunes, I've ran 15.87. That's a little over a second off the stock 1/4 mile e.t