Well, if your brakes lock up it will take longer for your car to stop and you might lose control of the vehicle. The main advantage to ABS is seen on ice, snow and wet roads.
I've never heard of anyone doing an ABS swap, and actually some people don't like it.
If you want to do brake upgrades, there are a few things you can do. You can get new aftermarket rotors (slotted Brembo rotors are nice), some high performance brake pads, some stainless steel brake lines and some high quality brake fluid (don't skimp on the fluid, it does matter).
Alternately, you can just get your stock rotors resurfaced (if they need it), change your brake fluid and get some new pads. If your rotors and pads are getting up in mileage, this might make a noticeable difference.
The Z32 brake conversion is popular too. This is taking the 300ZX braking system and swapping it in to the 240SX. It's not exactly cheap or easy from what I've read, but I haven't done it. This is probably overkill unless you are doing some serious performance mods and running at the track. The Z32 calipers are pretty impressive though. They're freakin' HUGE!
Anyway, IMO there are much better things to do with your brakes than try to swap in an ABS system.
