I have a 97 Bonnevile SE, and since i live in chicago, putting a CAI is not very safe. I was wondering what kind of gains i could expect off a Warm air intake ( or just a cone under the hood). Is it even worth it?

True CAI is kinda difficult with a Bonnie. What most of us do is a short ram system where the intake meets right up behind the headlight.

Curious, why would it not be a good idea to have a CAI in Chicago? I'm less than 60 minutes away and hope I'm not overlooking a new criminal act.

I also 60 minutes away in Buffalo Grove. The reason is mostly because of our constant rain. Technically I do not believe you are breaking any laws with an intake, but if you have a lot of other mods, cops can get pretty nasty when writing those tickets. But back to my question, if i just installed an intake and left the ram air effect alone for now, would it be worth 10 hp or so (love the sound too)?

10hp is a little high, 5hp max with a nice K&N filter. You can make one yourself with Home Depot part, or there are always one of our vendors, or gut the current airbox.

will the home depot way be as good or worse than the venders i know it dosen't look as good

I think home depot should be fine so long as you get decent materials. Some of the intakes you can buy seem to be custom-made for the Bonneville. Those will of course yield better results. Personally i think the HP gain from any intake is pretty hard to feel unless you also have a decent exhaust job. But i do it for the sound, and will not race my bonnie anyway.