JonB and Jeff are right - you've gotta have a GREAT relationship with your dealership at a minimum. Another thing to keep in mind is who makes the stuff you're about to install, and how willing are they to go to bat for you if the dealership gives you grief. Since warranties can only be declined (in principle, at least) if the modification DIRECTLY caused the failure, you need to have as much evidence and support as possible to support your claim that the mod didn't cause something else to grenade. Having the aftermarket part manufacturer make a few calls to the appropriate people can work wonders.
I installed a Kenne Bell blower on my 2000 Jeep Grand Cherokee, and the warranty issues have come up a few times, to say the least. I still haven't gotten the issues resolved, but hopefully Ted over at Stevens Creek will help out once he has some time.