I've found the Akitio Thunder2 to be a good Thunderbolt-PCIe adapter. Also, if your GPU needs 75 watts or less, you can plug in 120 watt laptop power supply to the built-in power connection, which is a lot easier than setting up a desktop power supply, especially since a lot of folks will wire up the power supply to power both the card and the adapter so they can avoid problems which could be caused by using two power supplies.
Goalque's script makes the software setup a lot easier:
https://github.com/goalque/automate-eGPU
I've also noticed that eGPUs increase processor usage as a result of the required compression. When I first got my eGPU in January, my MacBook Pro's CPU was throttled at 96 degrees Celsius when playing StarCraft 2 both at high and medium graphics settings. But with the recent OS X and also the Nvidia driver update, my MacBook's CPU rarely exceeds 74 degrees Celsius, which is a lot better for the CPU and and the components around it.