N2O or Nitrous Oxide is a gas that contains 33.333% oxygen and 66.666% nitrogen. Normal air contains about 20.95% oxygen, about 1% various gasses and the balance in Nitrogen. Since the kit gives a giant boost to your oxygen content and with the use of a spray bar provides the fuel gives your car's engine a nice boost in horsepower. The horsepower boost is the obvious positive.
Now the negative. With more oxygen and fuel you have a higher heating of the combustion chamber. Like an oxygen/acetylene torch, once the surface of a metal gets hot, the next step in the process is literally oxidizing the metal away. The metal being your pistons, valves and combustion area of the heads.
Keep in mind that if used wisely it is a low cost, easily installed HP boost that has never been intended to be used for extended periods of time. Since you are going to be racing the car, I assume you are talking about drag racing, the kit could be a nice experimenting tool.
The Zex kit does not contain a bottle for the nitrous so you would need to buy or rent a bottle for nitrous oxide. If you were able to sell the kit, you could buy a small twin turbo system if you booted it with your own money. Keep in mind that if you are going the turbo or supercharger way, you will need to change your pistons from flat tops to dished or concave forged pistons.
So that's my opinion. You will get more I am sure.
Edit: I found this link about N2O and find it very informative. Truth be told, I have never seen damage caused by a N2O system unless it was abused as mentioned in the article. I think this article will answer all your questions about the system. Found another interesting link as well.