The main issue is tuning it. Most aftermarket parts are covered by a warranty that makes up for anything voided on the factory warranty. Not so with a tune. Although, so long as you go to a good tuning house, it's very unlikely it will cause any faults.
You'd have to do some major mods to completely void a warranty on a car... or simply not service it according to the book.
But putting on a sports exhaust or lowering the car doesnt void the lot, it just excludes certain parts that 'could' be affected by those mods (but even then it's dealer to dealer).
What mods are you considering, and perhaps we can give more specific answers?