Definitely do some searching on the site here. There are a lot of good resources and things you'll want to know before getting a tune.
1. You need an Accessport. This will plug in to your OBD-II port. The Accessport (AP) will allow you to communicate with the car's ECU and replace the stock tune with another tune of your choice. The tune will control many things such as boost pressure and timing.
2. There are a wide varieties of tunes available. COBB offers "stages" of tunes. These levels are meant to be used to maximize specific modifications. Generally OTS (Off the shelf) tunes are safe, but if you're increasing your boost pressure, you'll want to make sure you've got a larger intercooler to help keep temps in line. The tunes that come with the AP are known as OTS tunes and are available to you with the AP.
3. There are other vendors like Dizzy or Stratified which offer more aggressive tunes and custom tunes. Generally, COBB tunes are known to be a little more conservative. The other vendors can give you a tune, which would be programmed to your specific mods, or they can give you a custom tune if you're willing to send them your car's data. They send you these tunes via email, and you load them to the AP, and then load them onto your car.
4. There are other things you can do with tunes as well, like having a valet mode. If you select the valet tune, boost will be severely limited, as will the max RPM limit. You can purchase multiple tunes that will allow you to run E30, a mix of gasoline and ethanol.
Downsides:
I've read mixed information about the risk of tunes. The biggest one is that it will reset your ignition cycle count, so if you had to take the car in for warranty work, they would know that you've had an aftermarket tune on the car and could deny your claim, even if you've removed the tune prior to going to the dealership. I've read that it depends on the dealer, but just know that they COULD do that.
Keep searching and reading. There is TON of information on the forum for you. Just make sure you're 100% confident that it's right for you before installing.
That said, I have a Stratified tune on my '15. I have a bigger intercooler, colder plugs, an intake, and a rear motor mount (RMM). This is pretty much what is considered stage 2. I'm very happy with the tune. It makes the car feel more alive and playful.