Depends on the mod. Most people on nasioc are anal about it, but not everyone has 300-800 dollars per tune, when they are installing a 200 dollar cold air. A drop in k&n doesnt, But adding and cold air you should. Axle back exhaust you don't, cat back you should, turbo back you need! Intercooler no, but a tune helps a decent amount more than without. When in doubt call a tuner. I recommend cobb, awdtuning.com, and jotech racing. I have worked with all of them.
tuning after fitting some mods like bigger injectors/turbo is essential if you want the most out of the product you purchased and fitted, but you dont need to for everything, but if in doubt just do most your mods first then get it tuned once less hassle that way