Firstly I would like to get a concept out of the way .. People say "no smoke no poke". It's accustomed that a powerful diesel will leave a big trail of smoke.. NO. This is not true.
A good mapped diesel will smoke no more than a regular diesel (a bit of smoke is fine). Likewise if you have been driving around town for ages and not done any full throttle stuff, some smoke on initial acceleration is normal.
When at full throttle there should not be more than a light hazing, normally only visisble at night under lights.. if there are big plumes of smoke then it's a crap map and something needs fixing.
Tuning boxes are pre-defined (a stock configuration basically) and come in a couple of types.
You have the vario-resistor type which, in effect, trick the car into over fuelling, normally plugging into the fuel rail line (tricking the car into thinking it's underfuelling) or fuel temperature sensor (again, a cold engine injects more fuel.)
These often cost up to £20-£100 brand new, normally from Ebay, and come in a box with no adjustability. In effect they are a £0.50p resistor in a £1.50 box with £0.20 of "go faster"
stickers. Most things in cars run off electric signals and you can alter that signal by changing the resistance, ergo you can sometimes get more fuel into your engine by using resistors.
They cause poor driving habits, flatspots, excess smoke and unsmooth power delivery. In the long run they can damage your engine by over fuelling and producing excess soot (clogging up turbochargers (VNT mechanism), EGR valves, can clog cats and also DPFs if your car is fitted with one.
As a rule of thumb with diesels, more fuel = more power. Problem is to keep the fuelling right, most TDI's will automatically request more boost if more fuel is being sent to keep the AF mixture right. So either the turbo is left alone (depends on car) and you get massive smoke and lag from the excess fuel with not enough air to combust, or you push the turbo past usable safe limits and can shorten the life of it and your engine (let me tell you a blowing turbo can easily take out the top end of your engine).
I would not recommend these under any circumstances
Then you have the more complex type which I kind of refer to as mini-ECU's in their own right. They can cost from £150-£300 or even sometimes more.
Basically what happens is, they plug into a variety of sensors, injector rail, boost sensors and are in effect, a "flash remap" (I'll explain that term later) in a box. Normally the companies will get a car in and get a copy of it's fuel trims and data, boost, etc. They will then get a box to in effect emulate the signals from an ECU and replace with their new values.
You can tell these boxes as they are often adjustable with a little knob with different numbers, modes, etc. EG DTUK tuning boxes.
I would only recommend these for cars which are either a) under warranty and you don't want to risk it (in which case if you don't want to risk it I would personally leave it standard) or b) it's a loan car, hire car, or company car which you are not allowed to modify. They are not ideal but if you get one I would stick with a well known company such as DTUK who offer good support and assistance, and also dyno test their work 90% of the time.
Then you have remaps which are normally pretty good.
Revo, for example, generally are flash maps in which they have taken a car, designed a map for that particular car and then sell that map to their dealers, to "flash" onto cars which are the same.
This is better than a tuning box but the problem is that each car is going to be different so might not be perfectly suited to your specific engine..
Not to say it's bad but there is better out there.
Then you have a proper remap in which people will analyse each and every single bit of throttle opening %, rev range, etc, and adjust the fuelling specifically. These often cost between £250 and £400+ for a fully customized remap.
Personally I would either use R-Tech in Hinkley which are mainly VAG tuners but do other models like BMW, Vauxhalls, etc, Storm Developments who did my custom map for my ASZ injectors, again mainly VAG but I think they can do other things, and Darkside Developments who are one of the leading TDI tuners in the UK.
The above guys do fully custom remaps specific to your individual vehicle, and will get the best out of it.
In my opinion, if possible, always get a proper custom remap from a well regarded remapping company who specialise in your type of vehicle. EG I am a VAG man so the above 3 mentioned company are very well regarded in that. Ensure they perform the relevant checks on your vehicle before they start mapping it, making sure vital components are in good shape from an inspection, checking of any major boost leaks, if you have a diesel ensure the VNT's are not gunked up in the turbo, and that they have a dyno and can do a before and after, so you can see any major flatspots in the rev range.