There is an interesting article in the "upfront" of this month's (May, 2010) Car and Driver. They tested a VW Golf with stock wheels/tires vs plus1, plus2, plus3 and plus4 versions. The larger sizes did return the expected increase in cornering but also showed a decrease in 0-60 performance and mileage due to the extra unsprung weight of the larger wheels/tires.
Everything is a compromise in this physical world we live in.