ok not being much of an S/C wiz, I can tell you what I have read here and know from other applications.

Has anyone ever hooked up a SC X with the smaller 2.4, 2.3 pulley to a wideband o2 sensor to see if it is running lean at all?

not that i know of, but you bring up a good point... I imagine it is indeed running lean, unless of coarse the ECM is sophisticated enough to adjust mixture, which is possible.

Also any dyno proof of gains by doing this upgrade?

I seem to recal someone dyno-ing their truck with the pulley upgrade. I can not remember who. maybe it Pacopico.

Has anyone done an intercooler or water injection?

I think Water injection is on a lot of peoples "To do" list, I don't recall anyone doing it to an Xterra yet, but I do believe there is at least on Frontier running H2O Injection.

I don't believe an intercooler would work, i seem to recal something about a lack of space.