For the most part, if it "works" you just don't mess with it. For american cars, you usually go to a dealer. My car had many ECU updates over the years, but everyone online complained that it fixed some issues(surging idle, detonation) but then added other issues, so I just never bothered.

For the performance scene, an SCT hand held tuner (http://www.sctflash.com/) flashes over the current ECU firmware with the latest available firmware plus any tuned parameters that you select