To explain the concept as originally asked:
Unichip and many other actual chips are physical hardware. The throttle position sensor, airmass sensor, air temperature sensor, etc. wires are all physically cut, then a signal processor is placed between the ECU (car computer and those sensors). The "chip" then modifies the signal on the way to the ECU. Hence it is known as a piggyback.
The other "chips" which are only software, don't actually change anything physically. They are charging you a crap load of money for a software update. Basically the ECU contains a map with values of the various sensors and how much fuel should be injected, what kind of ignition advance should be applied and what kind of boost the turbo should provide. The "chip" or rather software update, changes those values.
Software update is far safer, more reliable solution these days. Piggy back is old school and you should only install it if the tuner has a good reason for it (eg. software update not available).
Lastly software update is fairly basic, in most cases they've already went and created a map beforehand that they keep reselling for Rxxxx. They've tested it on one car and then just add it to every "client" that wishes to "soup" up their rides. The software update will in 95% of the cases consist of an increase in Turbo boost pressure and increased fuel to make the mixture richer (to prevent detonation) and possible decrease ignition timing in some regions of the map. The reason for increasing the fuel IS NOT to add performance, it is to keep the engine cooler. The increased boost pressure will increase the heat exponentially, increasing the chances of detonation greatly (which will destroy a turbo engine immediately). To counteract the heat they increase the amount of fuel (which takes heat away by way of evaporation) and sometimes decrease ignition timing (increased ignition timing increases performance but rapidly increases heat generated by the engine). The amount of fuel is also increase because a leaner mixture (less fuel) burns much hotter, thus increasing the amount of fuel also creates a flame front that isn't as hot. (Think of a furnace. A furnace is much hotter because it is a "lean mixture" that is there is excess oxygen for the amount of fuel)
So fuel usage will increase fairly dramatically depending on amount of boost applied. It all depends how close to the point of detonation the manufacturer tuned the engine and how much leeway they left to protect the engine (hard to explain what I mean by leeway).
