Well, according to 505, they got c. 90RWHP increase on an otherwise stock motor (no exhaust mods, to TB spacer, no cam, heads, etc.). That's around a 50% improvement - actually more than 50%! In reality though, since their testing was done at 6000ft altitude, you could expect to see at least 65-70RWHP gain (conservative numbers) at sea level (don't forget, the boost is set to ABSOLUTE numbers, not RELATIVE, so if you're at 6000ft altitude and the ambient air pressure is, say, 13psi, you're actually making closer to 7.7psi of boost from the turbo). That's just about 50% RWHP increase (c.135RWHP stock).
That being said, there are numerous upgrades. I've heard the stock 4.0 cam is not at all turbo friendly. Of course the heads barely flow for the stock 4.0, much less a turbo'd and/or stroked one. The catalytic converter breathes like an emphysema patient. And the stock muffler is trash, too. I suspect you could pick up at least 30-35RWHP on top of the 65-70 by addressing these issues. Also, you can get an intercooler, but that'll only be worth around 5HP under the most grueling conditions (although during off-highway use, it would certainly help to maintain the amount of power already available), and if you build your motor right, you can get plenty more boost from the turbo, too - you just need to change the wastegate/blow-off valve (which can be ordered from Zach).
Now, as far as building oneself a turbo kit goes, it certainly could be done. I don't have a clue of the price, but it could be done. However, I've searched high and low for a good turbo for my XJ, and still have not found one. I have researched and reviewed compressor flow maps, etc., and don't care to look any more. The only thing that would influence me to build my own kit is if a Cherokee-specific kit were not made. If I'm going through a mud hole/pond, I don't want my exhaust gases being pumped through a submerged pipe, thus reducing their thermal energy. I would want the turbo mounted about 6-12" from the motor, providing a nice, short, direct path both for the exhaust, and for the intake air. Also, if we get enough people interested in the kit, and get a group buy, then I'm sure the cost would come down considerably also.
As far as Hondas go, the only thing they're good for is mowing lawns. Maybe Jesse James should do that on Monster Garage? Take a rice burner with 2HP @ 2000rpm and 600HP @ 7200rpm, and attach some blades to it. Be pretty gnarly, actually - and then at least it would have the right sound for its application!